A penalty-based method from reconstructing smooth local volatility surface from American options

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Publication:2514677

DOI10.3934/jimo.2015.11.631zbMath1306.91149OpenAlexW2011350566MaRDI QIDQ2514677

Kai Zhang, Kok Lay Teo

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.2015.11.631




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