Recovering the local volatility in Black–Scholes model by numerical differentiation (Q5481697)
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scientific article; zbMATH DE number 5045044
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| English | Recovering the local volatility in Black–Scholes model by numerical differentiation |
scientific article; zbMATH DE number 5045044 |
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Recovering the local volatility in Black–Scholes model by numerical differentiation (English)
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10 August 2006
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Black-Scholes model
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local volatility
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Dupire formula
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numerical differentiation
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Tikhonov regularization
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0.864428699016571
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0.7981762886047363
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0.7915214896202087
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0.7909016013145447
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0.7824615240097046
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