Calibration of the purely T-dependent Black–Scholes implied volatility
DOI10.1080/00036811.2013.800974zbMath1291.91213OpenAlexW2040570855WikidataQ58247714 ScholiaQ58247714MaRDI QIDQ5417875
Nguyen Nhu Lan, Pham Hoang Uyen, Dang Duc Trong, Dinh Ngoc Thanh
Publication date: 22 May 2014
Published in: Applicable Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00036811.2013.800974
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32) Inverse problems for integral equations (45Q05)
Related Items (2)
Cites Work
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