Open AccessCalibration of Dupire local volatility model using genetic algorithm of optimization
Author(s) -
Maksym Bondarenko,
Victor Bondarenko
Publication year - 2018
Publication title -
neuro-fuzzy modeling techniques in economics
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
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