Filling the gaps smoothly-Reference-Cited by-同舟云学术

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Filling the gaps smoothly

Published:2018-01 Issue: Volume:24 Page:195-208
ISSN:1877-7503
Container-title:Journal of Computational Science
language:en
Short-container-title:Journal of Computational Science

Author:

Itkin Andrey,Lipton Alexander

Publisher

Elsevier BV

Subject

Modeling and Simulation,General Computer Science,Theoretical Computer Science

Reference26 articles.

1. Handbook of Mathematical Functions;Abramowitz,1964

2. Modeling and Forecasting Implied Volatility (Ph.D. Thesis);Ahoniemi,2009

3. Volatility interpolation;Andreasen;Risk Mag.,2011

4. Dynamic hedging with a deterministic local volatility function model;Coleman;J. Risk,2001

5. Options Markets;Cox,1985

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2. Multilayer heat equations and their solutions via oscillating integral transforms;Physica A: Statistical Mechanics and its Applications;2022-09

3. Multilayer heat equations: Application to finance;Frontiers of Mathematical Finance;2022

4. Reconstruction of the local volatility function using the Black–Scholes model;Journal of Computational Science;2021-04

5. Fitting Local Volatility: Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models;Quantitative Finance;2020-11-10

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