Uri Ascher

University of British Columbia (UBC)

2329 West Mall

Vancouver, British Columbia BC V6T 1Z4

Canada

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Scholarly Papers (1)

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Local Volatility Models in Commodity Markets and Online Calibration

Journal of Computational Finance, Forthcoming
Number of pages: 33 Posted: 22 Aug 2017
Federal University of Santa Catarina, University of British Columbia (UBC) and Instituto de Matematica Pura e Aplicada (IMPA)
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Abstract:

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commodity future options, local volatility calibration, online approach, inverse problem, Tikhonov-type regularization