Modeling and implementation of local volatility surfaces in Bayesian framework
Year of publication: |
June 2018
|
---|---|
Authors: | Animoku, Abdulwahab ; Uğur, Ömür ; Yolcu-Okur, Yeliz |
Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 15.2018, 2, p. 239-258
|
Subject: | Local volatility model | Bayesian analysis | Tikhonov regularization | Volatilität | Volatility | Bayes-Statistik | Bayesian inference | Optionspreistheorie | Option pricing theory | Modellierung | Scientific modelling | Black-Scholes-Modell | Black-Scholes model |
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