Simultaneous Calibration of European Option Volatility and Fractional Order under the Time Fractional Vasicek Model
In this paper, we recover the European option volatility function <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><mrow><mi>σ</mi><mo>(</mo><mi>t</mi><mo>)</mo><...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2024-01-01
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| Series: | Algorithms |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1999-4893/17/2/54 |