COMPUTATION OF LOCAL VOLATILITIES FROM REGULARIZED DUPIRE EQUATIONS (Q4675934): Difference between revisions

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Latest revision as of 11:09, 10 June 2024

scientific article; zbMATH DE number 2166058
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English
COMPUTATION OF LOCAL VOLATILITIES FROM REGULARIZED DUPIRE EQUATIONS
scientific article; zbMATH DE number 2166058

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    COMPUTATION OF LOCAL VOLATILITIES FROM REGULARIZED DUPIRE EQUATIONS (English)
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    6 May 2005
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    Black-Scholes model
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    Dupire equation
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    local volatility
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    inverse problem
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    regularization
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    numerical differentiation
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