Calibrating local volatility in inverse option pricing using the Levenberg-Marquardt method (Q2874459)
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scientific article; zbMATH DE number 6252238
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| English | Calibrating local volatility in inverse option pricing using the Levenberg-Marquardt method |
scientific article; zbMATH DE number 6252238 |
Statements
30 January 2014
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inverse problems
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option pricing
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calibrating volatility
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parameter identification
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stochastic PDE
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Calibrating local volatility in inverse option pricing using the Levenberg-Marquardt method (English)
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0.8222319483757019
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0.8198915719985962
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0.8167921900749207
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0.814325213432312
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0.813612163066864
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