COMPUTATION OF LOCAL VOLATILITIES FROM REGULARIZED DUPIRE EQUATIONS
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Publication:4675934
DOI10.1142/S0219024905002950zbMath1100.91044MaRDI QIDQ4675934
Martin Hanke, Elisabeth Rösler
Publication date: 6 May 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
inverse problem; regularization; numerical differentiation; Black-Scholes model; local volatility; Dupire equation
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Sequential quadratic programming method for volatility estimation in option pricing, Ill-posedness versus ill-conditioning–an example from inverse option pricing
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