Numerical procedure for calibration of volatility with American options

Applied Mathematical Finance

Volumn 12, Issue 3, 2005, Pages 201-241

  Achdou, Yves ^a,b   Pironneau, Olivier ^b  

^a UNIVERSITÉ PARIS DESCARTES   (France)

^b UNIVERSITÉ PIERRE ET MARIE CURIE   (France)

Author keywords

American options; Calibration of local volatility; Least Square Method; Optimality conditions

Indexed keywords

EID: 26444504080     PISSN: 1350486X     EISSN: None     Source Type: Journal    
DOI: 10.1080/1350486042000297252     Document Type: Article

References (22)

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