Robust and accurate construction of the local volatility surface using the Black-Scholes equation (Q2145459)
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scientific article; zbMATH DE number 7544039
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| English | Robust and accurate construction of the local volatility surface using the Black-Scholes equation |
scientific article; zbMATH DE number 7544039 |
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Robust and accurate construction of the local volatility surface using the Black-Scholes equation (English)
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17 June 2022
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local volatility surface
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FDM
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nonlinear curve-fit
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option pricing
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