Recovery of the local volatility function using regularization and a gradient projection method (Q2514665)
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scientific article; zbMATH DE number 6395523
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| English | Recovery of the local volatility function using regularization and a gradient projection method |
scientific article; zbMATH DE number 6395523 |
Statements
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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0.8538228869438171
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0.847666323184967
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0.8436453342437744
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0.8340483903884888
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