Using radial basis functions to construct local volatility surfaces
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Publication:621034
DOI10.1016/j.amc.2010.10.046zbMath1237.91216OpenAlexW2045433169WikidataQ57931974 ScholiaQ57931974MaRDI QIDQ621034
Publication date: 2 February 2011
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2010.10.046
Nonparametric regression and quantile regression (62G08) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (2)
Stable local volatility function calibration using spline kernel ⋮ Reconstruction of the time-dependent volatility function using the Black-Scholes model
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