Calibration of local volatility using the local and implied instantaneous variance

DOI10.21314/JCF.2009.195zbMath1181.91357MaRDI QIDQ3400794

Gabriel Turinici

Publication date: 5 February 2010

Published in: The Journal of Computational Finance (Search for Journal in Brave)

zbMATH Keywords

options; implied volatility; Gauss-Newton approximation; strike independent local volatility

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

90C20: Quadratic programming

91G80: Financial applications of other theories

Related Items

Parameter identification in financial market models with a feasible point SQP algorithm

Uses Software

• SQPlab