Calibration of Local Volatility Models under the Implied Volatility Criterion
A study introduces a new calibration criterion for local volatility models that minimizes the gap between theoretical and market implied volatilities, balancing calibration error reduction and overfitting prevention.
Featured in No. 46 on 24 Apr 2024 · 4 days after release · 0 citations today
- Released
- 20 Apr 2024
- First featured
- No. 46 · 24 Apr 2024
- Citations (Semantic Scholar)
- 0
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- 3
- Identifier
- SSRN 4801520
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