A penalty-based method from reconstructing smooth local volatility surface from American options (Q2514677)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A penalty-based method from reconstructing smooth local volatility surface from American options |
scientific article |
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A penalty-based method from reconstructing smooth local volatility surface from American options (English)
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3 February 2015
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complementarity problem
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volatility surface
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inverse problem
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penalty method
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option pricing
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