Entropy binomial tree method and calibration for the volatility smile
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Publication:4991538
DOI10.1080/17415977.2020.1742120zbMath1466.91338OpenAlexW3018495311MaRDI QIDQ4991538
Wenxiu Gong, Qing-Hua Ma, Zuo-liang Xu
Publication date: 3 June 2021
Published in: Inverse Problems in Science and Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17415977.2020.1742120
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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