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- W2040570855 abstract "We consider the problem of recovering an implied volatility from the data of option price. We improve results of Hein and Hofmann, and Kramer and Richter. In fact, we shall construct an elementary regularization. Then, we give an explicit formula of the regularization parameter. An explicit error estimate is also given." @default.
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- W2040570855 date "2013-06-14" @default.
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- W2040570855 title "Calibration of the purely T-dependent Black–Scholes implied volatility" @default.
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- W2040570855 doi "https://doi.org/10.1080/00036811.2013.800974" @default.
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