A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE (Q3606399)
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scientific article; zbMATH DE number 5519484
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| default for all languages | No label defined |
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| English | A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE |
scientific article; zbMATH DE number 5519484 |
Statements
A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE (English)
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26 February 2009
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implied volatility
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Dupire's equation
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inverse problem
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ansatz approach
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nonlinear system
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0.8105199337005615
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0.7956749200820923
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0.792435348033905
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0.7891965508460999
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0.7871387600898743
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