Fitting Local Volatility
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Publication:4973953
DOI10.1142/11623zbMath1431.91003OpenAlexW4247066782MaRDI QIDQ4973953
Publication date: 6 December 2019
Full work available at URL: https://doi.org/10.1142/11623
Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)
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Application of Itô processes and Schwartz distributions to local volatility for Margrabe options ⋮ Optimal investment strategy with constant absolute risk aversion utility under an extended CEV model ⋮ Robust and accurate construction of the local volatility surface using the Black-Scholes equation ⋮ No Arbitrage SVI ⋮ Multilayer heat equations: application to finance
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