Convex regularization of local volatility estimation (Q2970321)
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scientific article; zbMATH DE number 6698110
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| English | Convex regularization of local volatility estimation |
scientific article; zbMATH DE number 6698110 |
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CONVEX REGULARIZATION OF LOCAL VOLATILITY ESTIMATION (English)
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30 March 2017
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convex regularization
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local volatility surfaces
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regularization convergence rates
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numerical methods for volatility calibration
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0.8960514068603516
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0.8852527737617493
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0.8643059134483337
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0.8612691164016724
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