On decoupling of volatility smile and term structure in inverse option pricing (Q5486430)
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scientific article; zbMATH DE number 5052047
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On decoupling of volatility smile and term structure in inverse option pricing |
scientific article; zbMATH DE number 5052047 |
Statements
On decoupling of volatility smile and term structure in inverse option pricing (English)
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6 September 2006
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prices of call options
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Dupire equation
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Tikhonov regularization
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local volatility Black-Scholes model
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