Fast reconstruction of time-dependent market volatility for European options
Author:
Funder
Bulgarian National Science Fund
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Computational Mathematics
Link
http://link.springer.com/content/pdf/10.1007/s40314-021-01422-9.pdf
Reference49 articles.
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3. Albani V, Ascher UM, Zubelli JP (2018) Local volatility models in commodity markets and online calibration. J Comp Fin 21(5):63–95
4. Amster P, De Nápoli P, Zubelli JP (2009) Towards a generalization of Dupire’s equation for several assets. J Math Anal Appl 355:170–179
5. Black F (1976) The pricing of commodity contracts. J Fin Econ 3:167–179
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