A new well-posed algorithm to recover implied local volatility
From MaRDI portal
Publication:4647290
DOI10.1088/1469-7688/3/6/304zbMath1405.91626OpenAlexW2075917008MaRDI QIDQ4647290
Qihong Chen, Jin E. Zhang, Li-Shang Jiang, Li-Jun Wang
Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/1469-7688/3/6/304
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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