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Robust and accurate reconstruction of the time-dependent continuous volatility from option prices.
Youngjin Hwang
Taehee Lee
Soobin Kwak
Seungyoon Kang
Seokjun Ham
Junseok Kim
Published in:
Comput. Appl. Math. (2024)
Keyphrases
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highly accurate
computationally efficient
high accuracy
error analysis
three dimensional
compressive sensing
stock market
robust estimation
long run
exchange rate
subpixel accuracy
option pricing