Computation Of Local Volatilities From Regularized Dupire Equations
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DOI: 10.1142/S0219024905002950
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Cited by:
- B. Düring & A. Jüngel & S. Volkwein, 2008.
"Sequential Quadratic Programming Method for Volatility Estimation in Option Pricing,"
Journal of Optimization Theory and Applications, Springer, vol. 139(3), pages 515-540, December.
- Düring, Bertram & Jüngel, Ansgar & Volkwein, S., 2006. "A sequential quadratic programming method for volatility estimation in option pricing," CoFE Discussion Papers 06/02, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Kathrin Hellmuth & Christian Klingenberg, 2022. "Computing Black Scholes with Uncertain Volatility-A Machine Learning Approach," Papers 2202.07378, arXiv.org.
- Elyas Elyasiani & Silvia Muzzioli & Alessio Ruggieri, 2016. "Forecasting and pricing powers of option-implied tree models: Tranquil and volatile market conditions," Department of Economics 0099, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- Abdulwahab Animoku & Ömür Uğur & Yeliz Yolcu-Okur, 2018. "Modeling and implementation of local volatility surfaces in Bayesian framework," Computational Management Science, Springer, vol. 15(2), pages 239-258, June.
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Keywords
Black–Scholes model; Dupire equation; local volatility; inverse problem; regularization; numerical differentiation;All these keywords.
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