Reconstructing local volatility using total variation (Q523719): Difference between revisions
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91B70 / rank | |||
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| Property / Mathematics Subject Classification ID: 49M25 / rank | |||
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| Property / Mathematics Subject Classification ID: 65M32 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6707184 / rank | |||
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| Property / zbMATH Keywords | |||
Volatility smile | |||
| Property / zbMATH Keywords: Volatility smile / rank | |||
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Dupire's equation | |||
| Property / zbMATH Keywords: Dupire's equation / rank | |||
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finite difference | |||
| Property / zbMATH Keywords: finite difference / rank | |||
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optimization | |||
| Property / zbMATH Keywords: optimization / rank | |||
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multigrid method | |||
| Property / zbMATH Keywords: multigrid method / rank | |||
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Revision as of 06:03, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Reconstructing local volatility using total variation |
scientific article |
Statements
Reconstructing local volatility using total variation (English)
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21 April 2017
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Volatility smile
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Dupire's equation
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finite difference
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optimization
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multigrid method
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