Pages that link to "Item:Q4807847"
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The following pages link to Calibration of the local volatility in a trinomial tree using Tikhonov regularization (Q4807847):
Displaying 24 items.
- Convex regularization of local volatility models from option prices: convergence analysis and rates (Q412709) (← links)
- Reconstructing local volatility using total variation (Q523719) (← links)
- Estimation of risk-neutral density surfaces (Q645506) (← links)
- A splitting strategy for the calibration of jump-diffusion models (Q784736) (← links)
- The inverse volatility problem for American options (Q827510) (← links)
- An inverse problem arisen in the zero-coupon bond pricing (Q974534) (← links)
- Sequential quadratic programming method for volatility estimation in option pricing (Q1014041) (← links)
- The adjoint method for the inverse problem of option pricing (Q1718099) (← links)
- An alternative tree method for calibration of the local volatility (Q2076421) (← links)
- Stable reconstruction of the volatility in a regime-switching local-volatility model (Q2175621) (← links)
- The calibration of stochastic local-volatility models: an inverse problem perspective (Q2204027) (← links)
- Non-recombining trinomial tree pricing model and calibration for the volatility smile (Q2316688) (← links)
- Identifying the coefficient of first-order in parabolic equation from final measurement data (Q2483554) (← links)
- Calibrating local volatility in inverse option pricing using the Levenberg–Marquardt method (Q2874459) (← links)
- An Introduction to Particle Methods with Financial Applications (Q2917424) (← links)
- AN IMPROVED MARKOV CHAIN APPROXIMATION METHODOLOGY: DERIVATIVES PRICING AND MODEL CALIBRATION (Q2941065) (← links)
- CONVEX REGULARIZATION OF LOCAL VOLATILITY ESTIMATION (Q2970321) (← links)
- Arbitrage-free smoothing of the implied volatility surface (Q3404099) (← links)
- Multiasset Derivatives and Joint Distributions of Asset Prices (Q4561945) (← links)
- Delta-hedging vega risk? (Q4610265) (← links)
- ADAPTIVE FINITE ELEMENT METHODS FOR LOCAL VOLATILITY EUROPEAN OPTION PRICING (Q4653566) (← links)
- COMPUTATION OF LOCAL VOLATILITIES FROM REGULARIZED DUPIRE EQUATIONS (Q4675934) (← links)
- Entropy binomial tree method and calibration for the volatility smile (Q4991538) (← links)
- Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market (Q5745649) (← links)
