Local Volatility Calibration by Optimal Transport
Year of publication: |
2018
|
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Authors: | Guo, Ivan |
Other Persons: | Loeper, Gregoire (contributor) ; Wang, Shiyi (contributor) |
Publisher: |
[2018]: [S.l.] : SSRN |
Subject: | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process |
Extent: | 1 Online-Ressource (13 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 22, 2017 erstellt |
Other identifiers: | 10.2139/ssrn.3042015 [DOI] |
Classification: | G12 - Asset Pricing ; C63 - Computational Techniques |
Source: | ECONIS - Online Catalogue of the ZBW |
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