Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
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- scientific article; zbMATH DE number 6999659 (Why is no real title available?)
- COMPUTATION OF LOCAL VOLATILITIES FROM REGULARIZED DUPIRE EQUATIONS
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- The calibration of volatility for european option under fractional stochastic interest rate model
- Traveling wave solutions of an equation of Harry Dym type arising in the Black-Scholes framework
- Calibration of the bass local volatility model
- Nonlinear least-squares curve fitting with the Matlab function lsqcurvefit
- A splitting strategy for the calibration of jump-diffusion models
- Dupire-like identities for complex options
- Spectral calibration of exponential Lévy models
- Identification of the local speed function in a Lévy model for option pricing
- An inverse problem arisen in the zero-coupon bond pricing
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