Calibration of local volatility using the local and implied instantaneous variance
نویسندگان
چکیده
منابع مشابه
Calibration of local volatility using the local and implied instantaneous variance
We document the calibration of the local volatility in terms of local and implied instantaneous variances; we first explore the theoretical properties of the method for a particular class of volatilities. We confirm the theoretical results through a numerical procedure which uses a Gauss-Newton style approximation of the Hessian in the framework of a sequential quadratic programming (SQP) appro...
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فرض کنیمr یک حلقه تعویض پذیر ویکدار موضعی باشدو(j(r رایکال جیکوبسن r و(z(r مجموعه مقسوم علیه های صفر حلقه r باشد.گوییم r یک حلقه z- موضعی است هرگاه j(r)^2=. .همچنین برای یک حلقه تعویض پذیر r فرض کنیم c یک عنصر ناصفر از (z( r باشد با این خاصیت که cz( r)=0 گوییم حلقه موضعی r یک حلقه c - موضعی است هرگاه و{0 و z(r)^2={cو z(r)^3=0, نیز xz( r)=0 نتیجه دهد که x عضو {c,0 } است. در این پایان نامه ساخ...
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ژورنال
عنوان ژورنال: The Journal of Computational Finance
سال: 2009
ISSN: 1460-1559
DOI: 10.21314/jcf.2009.195