Showing 1 - 15 results of 15 for search '"local volatility"', query time: 1.38s Refine Results
  1. 1
    Deep Local Volatility
    by Marc Chataigner, Stéphane Crépey, Matthew Dixon
    Published 2020-08-01
    Subjects: “...local volatility...”
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    Article
  2. 2
    Local Volatility Calibration Using An Adjoint Proxy
    by Gabriel TURINICI
    Published 2008-11-01
    Subjects: “...local volatility...”
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    Article
  3. 3
    Stable Local Volatility Calibration Using Kernel Splines
    by Wang, Cheng
    Published 2008
    Subjects: “...local volatility function...”
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  4. 4
    Stable Local Volatility Calibration Using Kernel Splines
    by Wang, Cheng
    Published 2008
    Subjects: “...local volatility function...”
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  5. 5
    Calibration and Hedging in Finance
    by Lindholm, Love
    Published 2014
    Subjects: “...local volatility...”
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    Others
  6. 6
    Pricing of American options with discrete dividends using a PDE and a volatility surface while calculating derivatives with automatic differentiation
    Subjects: “...local volatility surface...”
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    Others
  7. 7
    CEV Model with Stochastic Volatility
    by IVAN BURTNYAK, Anna Malytska
    Published 2019-12-01
    Subjects: “...derivative pricing, stochastic volatility, local volatility, spectral theory, singular perturbation...”
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    Article
  8. 8
    Local Volatility Calibration on the Foreign Currency Option Market
    by Falck, Markus
    Published 2014
    Subjects: “...local volatility calibration...”
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    Others
  9. 9
    Pricing With Uncertainty : The impact of uncertainty in the valuation models ofDupire and Black&Scholes
    by Zetoun, Mirella
    Published 2013
    Subjects: “...Local Volatility...”
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    Others
  10. 10
    Implied and Local Volatility Surfaces for South African Index and Foreign Exchange Options
    by Antonie Kotzé, Rudolf Oosthuizen, Edson Pindza
    Published 2015-01-01
    Subjects: “...local volatility...”
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    Article
  11. 11
    Thesis - Optimizing Smooth Local Volatility Surfaces with Power Utility Functions
    Subjects: “...local volatility surface...”
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    Others
  12. 12
    Model Calibration in Option Pricing
    by Andre Loerx, Ekkehard W. Sachs
    Published 2012-04-01
    Subjects: “...Adjoints, Calibration, Jump models, Local volatility models, Mixed models, Partial differential...”
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    Article
  13. 13
    Analytical approximation of the transition density in a local volatility model
    by Pagliarani Stefano, Pascucci Andrea
    Published 2012-02-01
    Subjects: “...local volatility...”
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    Article
  14. 14
    Calculation of Option Prices using Methods of Spectral Analysis Вычисление цен опционов методами спектрального анализа
    Subjects: “...local volatility...”
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    Article
  15. 15
    Essays on pricing derivatives by taking into account volatility and interest rates risks
    by Rayée, Grégory
    Published 2012
    Subjects: “...local volatility...”
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    Doctoral Thesis
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