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Time stepwise local volatility
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Publication Year
2022-03
Journal
대한수학회보
Publisher
대한수학회
Citation
대한수학회보, Vol.59 No.2, pp.507-528
Keyword
Time stepwise local volatilityDupire's modelMonte Carlotransition density functionpath integral method
Abstract
We propose a path integral method to construct a time stepwise local volatility for the stock index market under Dupire's model. Our method is focused on the pricing with the Monte Carlo Method (MCM). We solve the problem of randomness of MCM by applying numerical integration. We reconstruct this task as a matrix equation. Our method provides the analytic Jacobian and Hessian required by the nonlinear optimization solver, resulting in stable and fast calculations.
ISSN
1015-8634
Language
Eng
URI
https://aurora.ajou.ac.kr/handle/2018.oak/35568
DOI
https://doi.org/10.4134/BKMS.b210391
Type
Article
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Bae, Hyeong Ohk Image
Bae, Hyeong Ohk배형옥
Department of Financial Engineering
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