Calibration of a nonlinear feedback option pricing model
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- Romuald Kenmoe & Simona Sanfelici, 2014. "An application of nonparametric volatility estimators to option pricing," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 393-412, October.
More about this item
KeywordsOption pricing; Numerical methods for option pricing; Partial differential equations; Implied volatilities; Option pricing via simulation; Parameter estimation techniques; Quantitative finance;
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