<mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" display="inline" id="d1e4430" altimg="si1.svg"><mml:msub><mml:mrow><mml:mi>ℓ</mml:mi></mml:mrow><mml:mrow><mml:mn>1</mml:mn></mml:mrow></mml:msub></mml:math>-constrained implied transition densities-Reference-Cited by-同舟云学术

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ℓ1-constrained implied transition densities

Published:2024-02 Issue: Volume:437 Page:115487
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Lim Hyuncheul,Lee Sungchul^ORCID

Funder

National Research Foundation of Korea

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference19 articles.

1. The pricing of options and corporate liabilities;Black;J. Polit. Econ.,1973

2. Implied volatility functions: Empirical tests;Dumas;J. Finance,1998

3. Pricing with a smile;Dupire;Risk,1994

4. Riding on a smile;Derman;Risk,1994

5. Stochastic Differential Equations: An Introduction with Applications;Øksendal,2002

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