Robust and accurate reconstruction of the time-dependent continuous volatility from option prices
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Publication:6576417
DOI10.1007/s40314-024-02837-wzbMath1545.91307MaRDI QIDQ6576417
Youngjin Hwang, Seokjun Ham, Soobin Kwak, Seungyoon Kang, Tae-Hee Lee, Junseok Kim
Publication date: 22 July 2024
Published in: Computational and Applied Mathematics (Search for Journal in Brave)
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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