Open AccessCalibration of Dupire local volatility model using genetic algorithm of optimization
Author(s) -
Maksym Bondarenko,
V. М. Bondarenko
Publication year - 2018
Publication title -
nejro-nečìtkì tehnologìï modelûvannâ v ekonomìcì
Language(s) - English
Resource type - Journals
eISSN - 2415-3516
pISSN - 2306-3289
DOI - 10.33111/nfmte.2018.003
Subject(s) - local volatility , calibration , volatility (finance) , genetic algorithm , computer science , econometrics , algorithm , mathematical optimization , mathematics , statistics , stochastic volatility