Bi-cubic B-spline fitting-based local volatility model with mean reversion process

DOI10.1007/s11424-015-3066-8zbMath1411.91631OpenAlexW2427616207MaRDI QIDQ2416527

Shifei Zhou, Jerome Yen, Hao Wang, Kin Keung Lai

Publication date: 23 May 2019

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-015-3066-8

zbMATH Keywords

mean reversionsurface fittinglocal volatilitybi-cubic B-spline

Mathematics Subject Classification ID

Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60)

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