Bi-Cubic B-Spline Fitting-Based Local Volatility Model with Mean Reversion Process

ZHOU Shifei,WANG Hao,YEN Jerome,LAI Kin Keung

Journal of Systems Science & Complexity ›› 2016, Vol. 29 ›› Issue (1) : 119-132.

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中国科学院数学与系统科学研究院期刊网
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Journal of Systems Science & Complexity ›› 2016, Vol. 29 ›› Issue (1) : 119-132. DOI: 10.1007/s11424-015-3066-8

Bi-Cubic B-Spline Fitting-Based Local Volatility Model with Mean Reversion Process

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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Complexity, 2016, 29(1): 119-132 https://doi.org/10.1007/s11424-015-3066-8

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