Extrapolation analytics for Dupire's local volatility (Q4560335)
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scientific article; zbMATH DE number 6991891
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Extrapolation analytics for Dupire's local volatility |
scientific article; zbMATH DE number 6991891 |
Statements
Extrapolation Analytics for Dupire’s Local Volatility (English)
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11 December 2018
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local volatility
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saddle point methods
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contour integration
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0.7820294499397278
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0.7819649577140808
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0.7724935412406921
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0.7650356888771057
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0.7552435994148254
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