Modeling and implementation of local volatility surfaces in Bayesian framework
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DOI: 10.1007/s10287-018-0302-4
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Cited by:
- Kai Yin & Anirban Mondal, 2023. "Bayesian uncertainty quantification of local volatility model," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 290-324, May.
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Keywords
Local volatility model; Bayesian analysis; Tikhonov regularization;All these keywords.
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