Reduced-order models for the implied variance under local volatility
Ekkehard W. Sachs and Marina Schneider
| Year of publication: |
2014
|
|---|---|
| Authors: | Sachs, Ekkehard ; Schneider, Marina |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 8, p. 1-23
|
| Subject: | Implied volatility | local volatility models | partial differential equations | model order reduction | proper orthogonal decomposition | discrete empirical interpolation method | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Modellierung | Scientific modelling | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010498793