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Georgiev et al., 2021 - Google Patents

Fast reconstruction of time-dependent market volatility for European options

Georgiev et al., 2021

Document ID
1487248907145671972
Author
Georgiev S
Vulkov L
Publication year
Publication venue
Computational and Applied Mathematics

External Links

Snippet

This paper presents a robust and fast numerical algorithm to reconstruct the implied volatility as a piecewise linear function of time. This is done from a set of market observations in the Black–Scholes world. We use a fully implicit finite difference scheme to solve the partial …
Continue reading at link.springer.com (other versions)

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