On decoupling of volatility smile and term structure in inverse option pricing (Q5486430)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: On decoupling of volatility smile and term structure in inverse option pricing |
scientific article; zbMATH DE number 5052047
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | On decoupling of volatility smile and term structure in inverse option pricing |
scientific article; zbMATH DE number 5052047 |
Statements
On decoupling of volatility smile and term structure in inverse option pricing (English)
0 references
6 September 2006
0 references
prices of call options
0 references
Dupire equation
0 references
Tikhonov regularization
0 references
local volatility Black-Scholes model
0 references
0.8474596738815308
0 references
0.8342671394348145
0 references
0.8245851397514343
0 references
0.8204208016395569
0 references
0.8139200806617737
0 references
