مرکز منطقه ای اطلاع رساني علوم و فناوري - Approximate inversion of the Black

Title of article :

Approximate inversion of the Black–Scholes formula using rational functions

Author/Authors :

Minqiang Li، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2008

Pages :

From page :

743

To page :

759

Keywords :

Rational approximation , Closed-form inversion , Implied volatility , Dimension reduction , Black–Scholes formula

Journal title :

European Journal of Operational Research

Serial Year :

2008

Journal title :

European Journal of Operational Research

Record number :

217343

Link To Document :