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Publication:2725580
zbMath0976.91019MaRDI QIDQ2725580
Thomas F. Coleman, Yuying Li, Arun Kumar Verma
Publication date: 3 September 2001
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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A penalty method for American options with jump diffusion processes ⋮ Learning minimum variance discrete hedging directly from the market ⋮ Jacobian-free implicit inner-iteration preconditioner for nonlinear least squares problems ⋮ Calibration and hedging under jump diffusion ⋮ Bayesian uncertainty quantification of local volatility model ⋮ Numerical Identification of Time-Dependent Volatility in European Options with Two-Stage Regime-Switching ⋮ Estimation of risk-neutral density surfaces ⋮ Reconstructing local volatility using total variation ⋮ Adjoint-based Monte Carlo calibration of financial methods ⋮ No-arbitrage interpolation of the option price function and its reformulation ⋮ Recovering the real-world density and liquidity premia from option data ⋮ Numerical techniques for determining implied volatility in option pricing
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