Calibration of the local volatility in a trinomial tree using Tikhonov regularization (Q4807847): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 01:55, 8 February 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
