How to make Dupire’s local volatility work with jumps (Q5245895): Difference between revisions

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Latest revision as of 23:47, 9 July 2024

scientific article; zbMATH DE number 6425903
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English
How to make Dupire’s local volatility work with jumps
scientific article; zbMATH DE number 6425903

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    How to make Dupire’s local volatility work with jumps (English)
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    16 April 2015
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    local volatility theory
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    volatility surfaces
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    computational finance
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    Fokker-Planck equation
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