A PDE method for estimation of implied volatility (Q4991029): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1080/14697688.2019.1675898 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2907334833 / rank | |||
Normal rank | |||
Revision as of 22:27, 19 March 2024
scientific article; zbMATH DE number 7353641
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A PDE method for estimation of implied volatility |
scientific article; zbMATH DE number 7353641 |
Statements
A PDE method for estimation of implied volatility (English)
0 references
2 June 2021
0 references
implied volatilities
0 references
partial differential equations
0 references
numerical methods for option pricing
0 references
Black-Scholes model
0 references
Bachelier model
0 references
