\(\ell_1\)-constrained implied transition densities
From MaRDI portal
Publication:6049315
DOI10.1016/j.cam.2023.115487zbMath1528.91079MaRDI QIDQ6049315
Publication date: 17 October 2023
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
65D07: Numerical computation using splines
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
65C35: Stochastic particle methods
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