Calibration of the local volatility in a trinomial tree using Tikhonov regularization (Q4807847): Difference between revisions
From MaRDI portal
Created a new Item |
Set OpenAlex properties. |
||
| (2 intermediate revisions by 2 users not shown) | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W1681010154 / rank | |||
Normal rank | |||
| links / mardi / name | links / mardi / name | ||
Latest revision as of 01:11, 20 March 2024
scientific article; zbMATH DE number 1916688
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Calibration of the local volatility in a trinomial tree using Tikhonov regularization |
scientific article; zbMATH DE number 1916688 |
Statements
Calibration of the local volatility in a trinomial tree using Tikhonov regularization (English)
0 references
2003
0 references
diffusion coefficient
0 references
mathematical finance
0 references
volatility
0 references
price of an option
0 references
