The waterline tree for separable local-volatility models
type: Item
instance of: scholarly article
title: The waterline tree for separable local-volatility models
zbMATH Open document ID: 1405.91639
author: U Hou Lok
author: Yuh-Dauh Lyuu
publication date: 2017-08-18T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 37C25
Mathematics Subject Classification ID: 05C05
zbMATH DE Number: 6762045
zbMATH Keywords: option pricing
zbMATH Keywords: separable local-volatility model
zbMATH Keywords: waterline tree
zbMATH Keywords: implied tree
zbMATH Keywords: fixed-point analysis
MaRDI profile type: Publication
full work available at URL: j.camwa.2016.12.008
OpenAlex ID: W2577025883
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DOI: 10.1016/J.CAMWA.2016.12.008
published in: Computers & Mathematics with Applications
description: scientific article; zbMATH DE number 6762045