View in EDS HTML Full Text PDF Full Text

Stable reconstruction of the volatility in a regime-switching local-volatility model.

Saved in:
Bibliographic Details
Title: Stable reconstruction of the volatility in a regime-switching local-volatility model.
Authors: Bellassoued, Mourad1 (AUTHOR) mourad.bellassoued@enit.utm.tn, Brummelhuis, Raymond2 (AUTHOR) raymondus.brummelhuis@univ-reims.fr, Cristofol, Michel3 (AUTHOR) michel.cristofol@univ-amu.fr, Soccorsi, Éric4 (AUTHOR) eric.soccorsi@univ-amu.fr
Source: Mathematical Control & Related Fields. Mar2020, Vol. 10 Issue 1, p189-215. 27p.
Database: Mathematics Source
Full text is not displayed to guests.
Description
ISSN:21568472
DOI:10.3934/mcrf.2019036