Local volatility models in commodity markets and online calibration
Year of publication: |
April 2018
|
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Authors: | Albani, Vinícius ; Ascher, Uri M. ; Zubelli, Jorge P. |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 21.2017/2018, 5, p. 63-95
|
Subject: | commodity future options | local volatility calibration | online approach | inverse problem | Tikhonov-type regularization | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Modellierung | Scientific modelling | Rohstoffderivat | Commodity derivative | Rohstoffmarkt | Commodity market |
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