Recovering the local volatility in Black–Scholes model by numerical differentiation (Q5481697)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5045044
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Recovering the local volatility in Black–Scholes model by numerical differentiation |
scientific article; zbMATH DE number 5045044 |
Statements
Recovering the local volatility in Black–Scholes model by numerical differentiation (English)
0 references
10 August 2006
0 references
Black-Scholes model
0 references
local volatility
0 references
Dupire formula
0 references
numerical differentiation
0 references
Tikhonov regularization
0 references
0 references
0.864428699016571
0 references
0.7981762886047363
0 references
0.7915214896202087
0 references
0.7909016013145447
0 references
0.7824615240097046
0 references
