On the calibration of local jump-diffusion asset price models
| Year of publication: |
2011
|
|---|---|
| Authors: | Kindermann, S. ; Mayer, P. |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 15.2011, 4, p. 685-724
|
| Publisher: |
Springer |
| Subject: | Local Lévy model | Jump diffusion processes | Ill-posed problem | Robust calibration | Inverse problem | Tikhonov regularization |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10009400206