Reconstruction of local volatility surface from American options (Q2681231)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Reconstruction of local volatility surface from American options |
scientific article |
Statements
Reconstruction of local volatility surface from American options (English)
0 references
7 February 2023
0 references
American options
0 references
volatility
0 references
inverse problem
0 references
finite difference scheme
0 references
gradient-based optimization
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
