Extrapolation Analytics for Dupire’s Local Volatility (Q4560335)

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scientific article; zbMATH DE number 6991891
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Extrapolation Analytics for Dupire’s Local Volatility
scientific article; zbMATH DE number 6991891

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    Extrapolation Analytics for Dupire’s Local Volatility (English)
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    11 December 2018
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    local volatility
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    saddle point methods
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    contour integration
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