Recovering the local volatility in Black–Scholes model by numerical differentiation (Q5481697)
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scientific article; zbMATH DE number 5045044
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Recovering the local volatility in Black–Scholes model by numerical differentiation |
scientific article; zbMATH DE number 5045044 |
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Recovering the local volatility in Black–Scholes model by numerical differentiation (English)
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10 August 2006
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Black-Scholes model
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local volatility
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Dupire formula
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numerical differentiation
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Tikhonov regularization
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