Recovery of the local volatility function using regularization and a gradient projection method (Q2514665)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Recovery of the local volatility function using regularization and a gradient projection method |
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Recovery of the local volatility function using regularization and a gradient projection method (English)
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3 February 2015
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volatility function
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linearization
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regularization
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projective gradient methods
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European option pricing problem
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