Recovering the local volatility in Black–Scholes model by numerical differentiation (Q5481697): Difference between revisions
From MaRDI portal
Created claim: Wikidata QID (P12): Q58246746, #quickstatements; #temporary_batch_1711015421434 |
ReferenceBot (talk | contribs) Changed an Item |
||
| Property / cites work | |||
| Property / cites work: The inverse problem of option pricing / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Identifying the volatility of underlying assets from option prices / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Numerical differentiation for two-dimensional scattered data / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Reconstruction of numerical derivatives from scattered noisy data / rank | |||
Normal rank | |||
Latest revision as of 17:46, 24 June 2024
scientific article; zbMATH DE number 5045044
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Recovering the local volatility in Black–Scholes model by numerical differentiation |
scientific article; zbMATH DE number 5045044 |
Statements
Recovering the local volatility in Black–Scholes model by numerical differentiation (English)
0 references
10 August 2006
0 references
Black-Scholes model
0 references
local volatility
0 references
Dupire formula
0 references
numerical differentiation
0 references
Tikhonov regularization
0 references
0 references
