Reconstruction of local volatility surface from American options (Q2681231)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Reconstruction of local volatility surface from American options |
scientific article |
Statements
Reconstruction of local volatility surface from American options (English)
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7 February 2023
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American options
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volatility
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inverse problem
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finite difference scheme
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gradient-based optimization
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