Calibration of the temporally varying volatility and interest rate functions
DOI10.1080/00207160.2021.1948539zbMath1496.91091OpenAlexW3176345690MaRDI QIDQ5072033
Chaeyoung Lee, Yongho Choi, Jisang Lyu, Soobin Kwak, Sangkwon Kim, Eunchae Park, Hyeongseok Hwang, Changwoo Yoo, Junseok Kim, Wonjin Lee
Publication date: 25 April 2022
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2021.1948539
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Uses Software
Cites Work
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