Volatility calibration with American options (Q2503207)
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scientific article; zbMATH DE number 5054070
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| default for all languages | No label defined |
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| English | Volatility calibration with American options |
scientific article; zbMATH DE number 5054070 |
Statements
Volatility calibration with American options (English)
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14 September 2006
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American options, variational inequalities, calibration of volatility, inverse prob- lems, optimality conditions, finite element methods, automatic differentiation
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0.8916454911231995
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0.8515873551368713
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0.8316055536270142
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0.8117114305496216
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