Online local volatility calibration by convex regularization (Q2969172)
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scientific article; zbMATH DE number 6694526
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| English | Online local volatility calibration by convex regularization |
scientific article; zbMATH DE number 6694526 |
Statements
Online local volatility calibration by convex regularization (English)
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14 March 2017
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online estimation
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Morozov's principle
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convergence rates
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0.8773483633995056
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0.8754748106002808
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0.8740664720535278
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0.8650329113006592
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0.8643059134483337
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