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Time stepwise local volatility
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dc.contributor.author배형옥-
dc.contributor.author임현철-
dc.date.issued2022-03-
dc.identifier.issn1015-8634-
dc.identifier.urihttps://aurora.ajou.ac.kr/handle/2018.oak/35568-
dc.description.abstractWe 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.-
dc.language.isoEng-
dc.publisher대한수학회-
dc.titleTime stepwise local volatility-
dc.typeArticle-
dc.citation.endPage528-
dc.citation.number2-
dc.citation.startPage507-
dc.citation.title대한수학회보-
dc.citation.volume59-
dc.identifier.bibliographicCitation대한수학회보, Vol.59 No.2, pp.507-528-
dc.identifier.doi10.4134/BKMS.b210391-
dc.subject.keywordTime stepwise local volatility-
dc.subject.keywordDupire's model-
dc.subject.keywordMonte Carlo-
dc.subject.keywordtransition density function-
dc.subject.keywordpath integral method-
dc.type.otherArticle-
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Bae, Hyeong Ohk배형옥
Department of Financial Engineering
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