Open AccessSimultaneous identification of time-dependent volatility and interest rate for European options
Author(s) -
Slavi Georgiev,
Lubin G. Vulkov
Publication year - 2021
Publication title -
aip conference proceedings
Language(s) - English
Resource type - Conference proceedings
SCImago Journal Rank - 0.177
H-Index - 75
eISSN - 1551-7616
pISSN - 0094-243X
DOI - 10.1063/5.0041788
Subject(s) - volatility (finance) , benchmark (surveying) , implied volatility , nonlinear system , interest rate , mathematics , financial market , black–scholes model , econometrics , inverse , volatility smile , mathematical optimization , economics , finance , physics , geometry , geodesy , quantum mechanics , geography
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