Calibrating volatility function bounds for an uncertain volatility model

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Publication:5411507

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DOI10.21314/JCF.2010.219zbMath1284.62637OpenAlexW2444408961MaRDI QIDQ5411507

Changhong He, Thomas F. Coleman, Yuying Li

Publication date: 23 April 2014

Published in: The Journal of Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.21314/jcf.2010.219

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Related Items (2)

Reconstruction of local volatility surface from American options ⋮ Computation and analysis for a constrained entropy optimization problem in finance

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