Calibration of local volatility using the local and implied instantaneous variance (Q3400794)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Calibration of local volatility using the local and implied instantaneous variance |
scientific article |
Statements
Calibration of local volatility using the local and implied instantaneous variance (English)
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5 February 2010
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implied volatility
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options
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strike independent local volatility
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Gauss-Newton approximation
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