TABLE III.
Description of local volatility summarizers.
| ||
|---|---|---|
| Summarizer | Membership function | Scaled MSD |
| High | trap(0.15, 0.2, 1, 1) | (0.2, 1) |
| Medium | trap(0.075, 0.1, 0.15, 0.2) | (0.1, 0.15) |
| Low | trap(0, 0, 0.075, 0.1) | (0, 0.075) |
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