Reconstructing piecewise constant local volatility surfaces

DOI10.12941/JKSIAM.2025.29.026MaRDI QIDQ6908625zbMATH OpenFDO

Authors Yunjae Nam, Minjoon Bang, Hyundong Kim, Junseok Kim

Publication date 30 October 2025

Published in Journal of the Korean Society for Industrial and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

finite difference methodBlack-Scholes equationpiecewise constant local volatility surface

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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