Calibration of local volatility using the local and implied instantaneous variance
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References listed on IDEAS
- Lishang Jiang & Qihong Chen & Lijun Wang & Jin Zhang, 2003. "A new well-posed algorithm to recover implied local volatility," Quantitative Finance, Taylor & Francis Journals, vol. 3(6), pages 451-457.
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- F. Gerlich & A. Giese & J. Maruhn & E. Sachs, 2012. "Parameter identification in financial market models with a feasible point SQP algorithm," Computational Optimization and Applications, Springer, vol. 51(3), pages 1137-1161, April.
- Cristian Homescu, 2011. "Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance," Papers 1107.1831, arXiv.org.
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Keywordscalibration; local volatility; implied volatility; Dupire formula; adjoint; instantaneous local variance; instantaneous implied variance; implied variance;
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