Recovering a piecewise constant volatility from perpetual put option prices (Q4933193)
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scientific article; zbMATH DE number 5798760
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Recovering a piecewise constant volatility from perpetual put option prices |
scientific article; zbMATH DE number 5798760 |
Statements
Recovering a Piecewise Constant Volatility from Perpetual Put Option Prices (English)
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12 October 2010
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perpetual put option
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calibration of models
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piecewise constant volatility
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0.7878054976463318
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0.7811245322227478
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0.7689719796180725
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0.7671253681182861
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0.7660537958145142
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