Convex regularization of local volatility estimation
Vinicius Albani, Adriano De Cezaro, Jorge P. Zubelli
| Year of publication: |
February 2017
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|---|---|
| Authors: | Albani, Vinícius ; Cezaro, Adriano de ; Zubelli, Jorge P. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 20.2017, 1, p. 1-37
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| Subject: | Convex regularization | local volatility surfaces | regularization convergence rates | numerical methods for volatility calibration | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Black-Scholes-Modell | Black-Scholes model | Nichtparametrisches Verfahren | Nonparametric statistics | Numerisches Verfahren | Numerical analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024917500066 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011686808