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- W2045433169 abstract "Abstract This article presents a new method for constructing a volatility surface for use in local volatility option pricing models. It builds on previous work focussing on non-parametric regression approaches using a set of radial basis functions, specifically thin plate splines. Optimal parameters are found using a trust region optimisation approach. While there is still much work to be done, the results are encouraging and show that the method is relatively tractable, stable and accurate." @default.
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- W2045433169 date "2011-01-01" @default.
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- W2045433169 title "Using radial basis functions to construct local volatility surfaces" @default.
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- W2045433169 doi "https://doi.org/10.1016/j.amc.2010.10.046" @default.
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