Stable Local Volatility Calibration Using Kernel Splines
This thesis proposes an optimization formulation to ensure accuracy and stability in the local volatility function calibration. The unknown local volatility function is represented by kernel splines. The proposed optimization formulation minimizes calibration error and an L1 norm of the vector of co...
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| Language: | en |
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2008
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| Online Access: | http://hdl.handle.net/10012/4080 |