Calibration of local volatility using the local and implied instantaneous variance (Q3400794): Difference between revisions
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Latest revision as of 12:03, 5 March 2024
scientific article
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English | Calibration of local volatility using the local and implied instantaneous variance |
scientific article |
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Calibration of local volatility using the local and implied instantaneous variance (English)
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5 February 2010
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implied volatility
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options
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strike independent local volatility
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Gauss-Newton approximation
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