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chronos.mathematik.uni-mainz.de
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1.
Computation of Local Volatilities from Regularized Dupire Equations
File Format: PDF/Adobe Acrobat - View as HTML [2] B. Dupire. Pricing with a smile. Risk, 7:18–20, 1994. [3] H. W. Engl, M. Hanke, and A. Neubauer. Regularization of Inverse Prob- ...
2.
Computation of Local Volatilities from Regularized Dupire Equations
File Format: PDF/Adobe Acrobat - View as HTML step the Dupire equation is rewritten as a linear equation for a rational ex- pression of the local volatility. This equation is solved with Tikhonov reg- ...
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