Modeling and implementation of local volatility surfaces in Bayesian framework

DOI10.1007/s10287-018-0302-4zbMath1405.62136OpenAlexW2790150786MaRDI QIDQ1616807

Yeliz Yolcu-Okur, Abdulwahab Animoku, Ömür Uğur

Publication date: 7 November 2018

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-018-0302-4

zbMATH Keywords

Bayesian analysisTikhonov regularizationlocal volatility modelrobust approach

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Bayesian uncertainty quantification of local volatility model

Cites Work

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