The implied volatility is a crucial element in any financial toolbox, since it is used to both quote and hedge options as well as for model calibration. In contrast to the Black–Scholes formula, its ...

This is a preview. Log in through your library . SIAM Journal on Numerical Analysis contains research articles on the development and analysis of numerical methods ...

In this paper, error estimates for generalized Laguerre-Gauss-type interpolations are derived in nonuniformly weighted Sobolev spaces weighted with $\omega _{\alpha ...