Calibration of the local volatility in a trinomial tree using Tikhonov regularization

Inverse Problems

Volumn 19, Issue 1, 2002, Pages 91-127

  Crepey S ^a  

^a Artabel SA   (France)

Author keywords

[No Author keywords available]

Indexed keywords

CALIBRATION; COSTS; FINANCE; POLYNOMIALS; PROBABILITY; TREES (MATHEMATICS);

TIKHONOV REGULARIZATION; TRINOMIALS;

INVERSE PROBLEMS;

EID: 0037275289     PISSN: 02665611     EISSN: None     Source Type: Journal    
DOI: 10.1088/0266-5611/19/1/306     Document Type: Article

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