Using radial basis functions to construct local volatility surfaces
type: Item
instance of: scholarly article
title: Using radial basis functions to construct local volatility surfaces
zbMATH Open document ID: 1237.91216
author: Sumit K. Garg
published in: Applied Mathematics and Computation
publication date: 2011-02-02T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 62G08
zbMATH DE Number: 5843707
zbMATH Keywords: radial basis function
zbMATH Keywords: non-linear optimisation
zbMATH Keywords: local volatility surfaces
MaRDI profile type: Publication
full work available at URL: j.amc.2010.10.046
OpenAlex ID: W2045433169
Wikidata QID: Q57931974
cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
DOI: 10.1016/J.AMC.2010.10.046
description: scientific article; zbMATH DE number 5843707