The implied volatility is a crucial element in any financial toolbox, since it is used to both quote and hedge options as well as for model calibration. In contrast to the Black–Scholes formula, its ...
SIAM Journal on Numerical Analysis, Vol. 35, No. 4 (Aug., 1998), pp. 1684-1708 (25 pages) This paper introduces a general technique for the construction of multistep methods capable of integrating, ...
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