On decoupling of volatility smile and term structure in inverse option pricing (Q5486430)
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scientific article; zbMATH DE number 5052047
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| 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)
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6 September 2006
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prices of call options
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Dupire equation
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Tikhonov regularization
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local volatility Black-Scholes model
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0.8474596738815308
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0.8342671394348145
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0.8245851397514343
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0.8204208016395569
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0.8139200806617737
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