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5. Local Volatility Calibration in Commodity Markets and Practical Simplifications

Local Volatility Calibration in Commodity Markets and Practical Simplifications

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：kuaileyt

【摘 要】

：

　　We adapt Dupire's local volatility model to price European options on commodity Futures,applying Tikhonov regularization to the corresponding calibration pr

【作 者】

：

Albani Vinicius 

【机 构】

：

Univ.of Vienna

【出 处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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论文部分内容阅读

　　We adapt Dupire's local volatility model to price European options on commodity Futures,applying Tikhonov regularization to the corresponding calibration problem,under a discrete setting.We also present two simplifications.

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