Stable local volatility function calibration using spline kernel.

Thomas F. Coleman Yuying Li Cheng Wang

Published in: Comput. Optim. Appl. (2013)

Keyphrases

kernel methods
kernel function
spline interpolation
kernel matrix
series expansion
stock market
reproducing kernel hilbert space
dot product
positive semi definite
computer vision
support vector
feature space
multiresolution
b spline
camera parameters
calibration method