A radial basis function approach to reconstructing the local volatility surface of European options
A key problem in financial mathematics is modelling the volatility skew observed in options markets. Local volatility methods, which is one approach to modelling skew, requires the construction of a volatility surface to reconcile discretely observed market data and dynamics. In this thesis we pro...
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| Format: | Others |
| Language: | en |
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2010
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| Online Access: | http://hdl.handle.net/10539/8559 |