A penalty-based method from reconstructing smooth local volatility surface from American options (Q2514677)
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scientific article; zbMATH DE number 6395535
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | A penalty-based method from reconstructing smooth local volatility surface from American options |
scientific article; zbMATH DE number 6395535 |
Statements
A penalty-based method from reconstructing smooth local volatility surface from American options (English)
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3 February 2015
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complementarity problem
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volatility surface
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inverse problem
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penalty method
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option pricing
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0.9164541363716124
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0.7911319136619568
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0.7856404185295105
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0.7840700149536133
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