Stable local volatility function calibration using spline kernel - Coleman, Thomas F.; Li, Yuying; Wang, Cheng (Computational optimization and applications, 2013)
Keywords: Accuracy; Calibration; Computational mathematics; Convex and Discrete Geometry; Engineering research; Management Science; Markets; Mathematical analysis; Mathematical models; Mathematics; Mathematics and Statistics; Operations Research; Operations Research/Decision Theory; Optimization; Partial differential equations; Securities prices; Splines; Statistics; Stochastic models; Studies; Vectors (mathematics); Volatility; Spline kernel; optimization; Option pricing; Local volatility function; Calibration; L; Trust region method