Robust and accurate reconstruction of the time-dependent continuous volatility from option prices (Q6576417)
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scientific article; zbMATH DE number 7884756
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| English | Robust and accurate reconstruction of the time-dependent continuous volatility from option prices |
scientific article; zbMATH DE number 7884756 |
Statements
Robust and accurate reconstruction of the time-dependent continuous volatility from option prices (English)
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22 July 2024
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continuous volatility
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Black-Scholes equation
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finite difference method
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0.8803891539573669
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0.8796416521072388
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0.8137322068214417
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0.8133832216262817
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0.8067682385444641
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