How to make Dupire’s local volatility work with jumps (Q5245895): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 20:27, 5 March 2024
scientific article; zbMATH DE number 6425903
Language | Label | Description | Also known as |
---|---|---|---|
English | How to make Dupire’s local volatility work with jumps |
scientific article; zbMATH DE number 6425903 |
Statements
How to make Dupire’s local volatility work with jumps (English)
0 references
16 April 2015
0 references
local volatility theory
0 references
volatility surfaces
0 references
computational finance
0 references
Fokker-Planck equation
0 references