Recovery of the local volatility function using regularization and a gradient projection method

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Publication:2514665

DOI10.3934/jimo.2015.11.421zbMath1305.91241OpenAlexW2320154450MaRDI QIDQ2514665

Liping Wang, Qing-Hua Ma, Zuo-liang Xu

Publication date: 3 February 2015

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2015.11.421





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