Time stepwise local volatility

DC Field	Value	Language
dc.contributor.author	배형옥	-
dc.contributor.author	임현철	-
dc.date.issued	2022-03	-
dc.identifier.issn	1015-8634	-
dc.identifier.uri	https://aurora.ajou.ac.kr/handle/2018.oak/35568	-
dc.description.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.	-
dc.language.iso	Eng	-
dc.publisher	대한수학회	-
dc.title	Time stepwise local volatility	-
dc.type	Article	-
dc.citation.endPage	528	-
dc.citation.number	2	-
dc.citation.startPage	507	-
dc.citation.title	대한수학회보	-
dc.citation.volume	59	-
dc.identifier.bibliographicCitation	대한수학회보, Vol.59 No.2, pp.507-528	-
dc.identifier.doi	10.4134/BKMS.b210391	-
dc.subject.keyword	Time stepwise local volatility	-
dc.subject.keyword	Dupire's model	-
dc.subject.keyword	Monte Carlo	-
dc.subject.keyword	transition density function	-
dc.subject.keyword	path integral method	-
dc.type.other	Article	-

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