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Applicable Analysis
An International Journal
Volume 85, 2006 - Issue 6-7
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Original Articles

Recovering the local volatility in Black–Scholes model by numerical differentiation

Binbin Yin Institute of Mathematics, School of Mathematical Sciences, Fudan University, Shanghai 200433, ChinaCorrespondence[email protected] [email protected]
&
Yuzhang Ye Institute of Mathematics, School of Mathematical Sciences, Fudan University, Shanghai 200433, China
Pages 681-692 | Received 04 Mar 2005, Accepted 31 Dec 2005, Published online: 28 Nov 2010

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Zehong Meng, Zhenyu Zhao, Duan Mei & Yongxiong Zhou. (2020) Numerical differentiation for two-dimensional functions by a Fourier extension method. Inverse Problems in Science and Engineering 28:1, pages 126-143.
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Articles from other publishers (7)

Nadaniela Egidi, Josephin Giacomini, Pierluigi Maponi & Michael Youssef. (2023) An FFT method for the numerical differentiation. Applied Mathematics and Computation 445, pages 127856.
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Yu. I. Hrytsiuk & R. B. Tushnytskyi. (2023) Numerical differentiation of table-given functions at arbitrarily located interpolation nodes. Ukrainian Journal of Information Technology 5:1, pages 25-41.
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Ю. І. Грицюк & В. І. Гавриш. (2022) Чисельне диференціювання періодичних таблично-заданих функцій з використанням многочлена Фур'є. Scientific Bulletin of UNFU SBUNFU 32:5, pages 69-79.
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Zhenyu Zhao & Lei You. (2021) A numerical differentiation method based on legendre expansion with super order Tikhonov regularization. Applied Mathematics and Computation 393, pages 125811.
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Zhenyu Zhao. (2021) A Hermite extension method for numerical differentiation. Applied Numerical Mathematics 159, pages 46-60.
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X. R. Zhao, Z. Sheng, J. W. Li, H. Yu & K. J. Wei. (2019) Determination of the “Wave Turbopause” Using a Numerical Differentiation Method. Journal of Geophysical Research: Atmospheres 124:20, pages 10592-10607.
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Baoqin Chen, Zhenyu Zhao, Zhi Li & Zehong Meng. (2018) Numerical differentiation by a Fourier extension method with super-order regularization. Applied Mathematics and Computation 334, pages 1-10.
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