Convex regularization of local volatility models from option prices: Convergence analysis and rates

✍ Scribed by A. De Cezaro; O. Scherzer; J.P. Zubelli

• Book ID: 113811570
• Publisher: Elsevier Science
• Year: 2012
• Tongue: English
• Weight: 337 KB
• Volume: 75
• Category: Article
• ISSN: 0362-546X
• DOI: 10.1016/j.na.2011.10.037