Control‐Theoretic Framework for a Quasi‐Newton Local Volatility Surface Inversion
暂无分享,去创建一个
[1] Yves Achdou,et al. Computational Methods for Option Pricing (Frontiers in Applied Mathematics) (Frontiers in Applied Mathematics 30) , 2005 .
[2] Noelle Foreshaw. Options… , 2010 .
[3] Thomas F. Coleman,et al. A Reflective Newton Method for Minimizing a Quadratic Function Subject to Bounds on Some of the Variables , 1992, SIAM J. Optim..
[4] M. Musiela,et al. Martingale Methods in Financial Modelling , 2002 .
[5] J. Hull. Options, Futures, and Other Derivatives , 1989 .
[6] O. Pironneau,et al. Computational Methods for Option Pricing (Frontiers in Applied Mathematics) (Frontiers in Applied Mathematics 30) , 2005 .
[7] D K Smith,et al. Numerical Optimization , 2001, J. Oper. Res. Soc..
[8] T. Coleman,et al. Reconstructing the Unknown Local Volatility Function , 1999 .
[9] Stephen J. Wright,et al. Numerical Optimization , 2018, Fundamental Statistical Inference.