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  • Search: subject:"discrete empirical interpolation method"
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Subject
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Implied volatility 2 discrete empirical interpolation method 2 local volatility models 2 model order reduction 2 partial differential equations 2 proper orthogonal decomposition 2 Black-Scholes model 1 Black-Scholes-Modell 1 Estimation theory 1 Option pricing theory 1 Optionspreistheorie 1 Schätztheorie 1 Stochastic process 1 Stochastischer Prozess 1 Volatility 1 Volatilität 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
Author
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SACHS, EKKEHARD W. 1 SCHNEIDER, MARINA 1 Sachs, Ekkehard 1 Schneider, Marina 1
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International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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REDUCED-ORDER MODELS FOR THE IMPLIED VARIANCE UNDER LOCAL VOLATILITY
SACHS, EKKEHARD W.; SCHNEIDER, MARINA - In: International Journal of Theoretical and Applied … 17 (2014) 08, pp. 1450053-1
empirical interpolation method (DEIM) to deal with the nonlinear terms. Numerical results prove the quality of our approach …-order model (ROM) will be proper orthogonal decomposition (POD). This strategy is additionally combined with the discrete …
Persistent link: https://www.econbiz.de/10011106365
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Cover Image
Reduced-order models for the implied variance under local volatility
Sachs, Ekkehard; Schneider, Marina - In: International journal of theoretical and applied finance 17 (2014) 8, pp. 1-23
Persistent link: https://www.econbiz.de/10010498793
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