Stable local volatility function calibration using spline kernel (Q2393653)
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scientific article; zbMATH DE number 6196770
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| English | Stable local volatility function calibration using spline kernel |
scientific article; zbMATH DE number 6196770 |
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Stable local volatility function calibration using spline kernel (English)
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8 August 2013
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local volatility function
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spline kernel
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calibration
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\(L_1\) optimization
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trust region method
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option pricing
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0.8142408728599548
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0.8130982518196106
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0.8121950626373291
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0.8094972372055054
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