Mathematical Modeling with Local Volatility Surface by Radial Basis Function Approach
نویسندگان
چکیده
Abstract. Some obstacles create vulnerable situations in financial market. Overcome this unexpected situation, it is essential to reform the financial market by measuring the risk of share market. This project investigates the sensitivity of radial basis functions to construct different volatility surface by radial basis function approaches to understand the risk of share market. Different types of radial basis functions on the basis of different error measurement such as average error as well as relative average error of Dhaka Stock Exchange (DSE) are measured and multiquadratic function gives the best result with compare to other functions especially Gaussian and Thin plate spline function.
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