Bias-reduced nonparametric local volatility: Stable numerical method without building the continuous implied volatility surface

Mathematics and Computers in Simulation 2026

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Authors: Junhyun Cho, Wooyeol Jeong, Donghee Yang, Sungchul Lee

DOI: 10.1016/j.matcom.2026.01.030

Cited by: 0

References: 32

Fields of Study & Subjects

Stochastic processes and financial applications Financial Risk and Volatility Modeling Financial Markets and Investment Strategies

References 32