Control-theoretic framework for a quasi-Newton local volatility surface inversion
Year of publication: |
2009-02-09
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Authors: | Turinici, Gabriel |
Institutions: | HAL |
Subject: | local volatility | calibration | volatility calibration | inversion | finance | financial derivatives | options |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00298960/en/ Published - Presented, ICCMSE, 2008, Crete, Greece |
Source: |
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