The waterline tree for separable local-volatility models (Q2013448)
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scientific article; zbMATH DE number 6762045
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| English | The waterline tree for separable local-volatility models |
scientific article; zbMATH DE number 6762045 |
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The waterline tree for separable local-volatility models (English)
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18 August 2017
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option pricing
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separable local-volatility model
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waterline tree
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implied tree
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fixed-point analysis
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0.7610082626342773
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0.7466870546340942
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0.7378722429275513
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0.7015591859817505
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0.6992930769920349
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