Stable local volatility function calibration using spline kernel (Q2393653): Difference between revisions

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Latest revision as of 18:30, 6 July 2024

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Stable local volatility function calibration using spline kernel
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    Stable local volatility function calibration using spline kernel (English)
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    8 August 2013
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    local volatility function
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    spline kernel
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    calibration
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    \(L_1\) optimization
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    trust region method
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    option pricing
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