Data driven recovery of local volatility surfaces (Q2013860): Difference between revisions

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Property / arXiv ID: 1512.07660 / rank
 
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Latest revision as of 05:24, 14 July 2024

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Data driven recovery of local volatility surfaces
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    Data driven recovery of local volatility surfaces (English)
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    9 August 2017
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    data science
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    local volatility calibration
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    inverse problem
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    Tikhonov-type regularization
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    ensemble Kalman filter
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    Identifiers

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