Data driven recovery of local volatility surfaces (Q2013860)
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scientific article; zbMATH DE number 6758993
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Data driven recovery of local volatility surfaces |
scientific article; zbMATH DE number 6758993 |
Statements
Data driven recovery of local volatility surfaces (English)
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9 August 2017
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data science
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local volatility calibration
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inverse problem
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Tikhonov-type regularization
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ensemble Kalman filter
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0.7718484997749329
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0.764432430267334
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0.7561216950416565
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0.7553682923316956
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