Online local volatility calibration by convex regularization
نویسندگان
چکیده
منابع مشابه
Local Volatility Models in Commodity Markets and Online Calibration
We introduce a local volatility model for the valuation of options on commodity futures by using European vanilla option prices. The corresponding calibration problem is addressed within an online framework, allowing the use of multiple price surfaces. Since uncertainty in the observation of the underlying future prices translates to uncertainty in data locations, we propose a model-based adjus...
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ژورنال
عنوان ژورنال: Applicable Analysis and Discrete Mathematics
سال: 2014
ISSN: 1452-8630,2406-100X
DOI: 10.2298/aadm140811012a