Bi-cubic B-spline fitting-based local volatility model with mean reversion process

Shifei Zhou, Hao Wang, Jerome Yen, Kin Keung Lai. Bi-cubic B-spline fitting-based local volatility model with mean reversion process. J. Systems Science & Complexity, 29(1):119-132, 2016. [doi]

Authors

Shifei Zhou

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Hao Wang

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Jerome Yen

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Kin Keung Lai

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