"Calibration of the Local Volatility in a Generalized Black-Scholes Model ..."

Stéphane Crépey (2003)

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DOI: 10.1137/S0036141001400202

access: closed

type: Journal Article

metadata version: 2020-07-03

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Stéphane Crépey:
Calibration of the Local Volatility in a Generalized Black-Scholes Model Using Tikhonov Regularization. SIAM J. Math. Anal. 34(5): 1183-1206 (2003)

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