Robust and accurate reconstruction of the time-dependent continuous volatility from option prices
type: Item
instance of: scholarly article
title: Robust and accurate reconstruction of the time-dependent continuous volatility from option prices
zbMATH Open document ID: 1545.91307
author: Y. Hwang
author: Tae-Hee Lee
author: Soobin Kwak
author: Seungyoon Kang
author: Seokjun Ham
author: Junseok Kim
published in: Computational and Applied Mathematics
publication date: 2024-07-22T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 35Q91
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
zbMATH DE Number: 7884756
zbMATH Keywords: continuous volatility
zbMATH Keywords: Black-Scholes equation
zbMATH Keywords: finite difference method
MaRDI profile type: Publication
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DOI: 10.1007/S40314-024-02837-W
description: scientific article; zbMATH DE number 7884756