Using radial basis functions to construct local volatility surfaces (Q621034): Difference between revisions
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| Property / DOI: 10.1016/j.amc.2010.10.046 / rank | |||
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| Property / Wikidata QID: Q57931974 / rank | |||
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| Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank | |||
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| Property / DOI: 10.1016/J.AMC.2010.10.046 / rank | |||
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Latest revision as of 22:54, 9 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Using radial basis functions to construct local volatility surfaces |
scientific article |
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Using radial basis functions to construct local volatility surfaces (English)
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2 February 2011
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radial basis function
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non-linear optimisation
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local volatility surfaces
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