Calibration of stochastic volatility models : a Tikhonov regularization approach
Min Dai, Ling Tang, Xingye Yue
Year of publication: |
March 2016
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Authors: | Dai, Min ; Tang, Ling ; Yue, Xingye |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 64.2016, p. 66-81
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Subject: | Calibration | Stochastic volatility model | Tikhonov regularization | Inverse problem | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Nichtparametrisches Verfahren | Nonparametric statistics |
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