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20122016
most citedOnline Local Volatility Calibration by Convex Regularization with Morozov's Principle and Convergence Rates

12 citations · 13 across the 3 of their papers we have counts for

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q-fin.CP2016

Local Volatility Models in Commodity Markets and Online Calibration

Vinicius Albani, Uri M. Ascher, Jorge P. Zubelli

We introduce a local volatility model for the valuation of options on commodity futures by using European vanilla option prices. The corresponding calibration problem is addressed…