Modeling and implementation of local volatility surfaces in Bayesian framework
Abdulwahab Animoku, Ömür Uğur, Yeliz Yolcu-Okur
| Year of publication: |
June 2018
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|---|---|
| Authors: | Animoku, Abdulwahab ; Uğur, Ömür ; Yolcu-Okur, Yeliz |
| Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 15.2018, 2, p. 239-258
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| Subject: | Local volatility model | Bayesian analysis | Tikhonov regularization | Volatilität | Volatility | Bayes-Statistik | Bayesian inference | Optionspreistheorie | Option pricing theory | Modellierung | Scientific modelling |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10287-018-0302-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011876581