A stochastic approximation algorithm for option pricing model calibration with a switchable market

G. Yin, J. Yu, Q. Zhang. A stochastic approximation algorithm for option pricing model calibration with a switchable market. Int. J. Comput. Math., 87(15):3525-3545, 2010. [doi]

Authors

G. Yin

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J. Yu

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Q. Zhang

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