Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market (Q5745649): Difference between revisions

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scientific article; zbMATH DE number 6252532

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English	Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market	scientific article; zbMATH DE number 6252532

Statements

instance of

scholarly article

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title

Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market (English)

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zbMATH Open document ID

1280.91169

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DOI

10.1080/14697688.2011.586355

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30 January 2014

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Mathematics Subject Classification ID

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risk neutral distributions

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option pricing

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parameter estimation techniques

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goodness-of-fit tests

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inverse theory

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/14697688.2011.586355

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OpenAlex ID

W2071445757

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cites work

Calibrating volatility surfaces via relative-entropy minimization

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An inverse parabolic problem arising in finance

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Computing the implied volatility in stochastic volatility models

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The Pricing of Options and Corporate Liabilities

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The inverse problem of option pricing

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Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets

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Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem

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Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization

0 references

Calibration of the local volatility in a trinomial tree using Tikhonov regularization

0 references

Well-posed stochastic extensions of ill-posed linear problems

0 references

Analysis of Discrete Ill-Posed Problems by Means of the L-Curve

0 references

Rank-Deficient and Discrete Ill-Posed Problems

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

0 references

Q3745181

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Gram-Charlier densities.

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A method for the solution of certain non-linear problems in least squares

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CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS

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Inner, outer, and generalized inverses in banach and hilbert spaces

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The Mathematics of Computerized Tomography

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Sitelinks

Mathematics(1 entry)

mardi Publication:5745649

@@ Property / cites work @@
+Calibrating volatility surfaces via relative-entropy minimization
+Normal rank
@@ Property / cites work @@
+An inverse parabolic problem arising in finance
@@ Property / cites work: An inverse parabolic problem arising in finance / rank @@
+Normal rank
@@ Property / cites work @@
+Computing the implied volatility in stochastic volatility models
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+The inverse problem of option pricing
@@ Property / cites work: The inverse problem of option pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
+Normal rank
@@ Property / cites work @@
+Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
+Normal rank
@@ Property / cites work @@
+Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
+Normal rank
@@ Property / cites work @@
+Calibration of the local volatility in a trinomial tree using Tikhonov regularization
+Normal rank
@@ Property / cites work @@
+Well-posed stochastic extensions of ill-posed linear problems
+Normal rank
@@ Property / cites work @@
+Analysis of Discrete Ill-Posed Problems by Means of the L-Curve
+Normal rank
@@ Property / cites work @@
+Rank-Deficient and Discrete Ill-Posed Problems
@@ Property / cites work: Rank-Deficient and Discrete Ill-Posed Problems / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Q3745181
@@ Property / cites work: Q3745181 / rank @@
+Normal rank
@@ Property / cites work @@
+Gram-Charlier densities.
@@ Property / cites work: Gram-Charlier densities. / rank @@
+Normal rank
@@ Property / cites work @@
+A method for the solution of certain non-linear problems in least squares
+Normal rank
@@ Property / cites work @@
+CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
+Normal rank
@@ Property / cites work @@
+Inner, outer, and generalized inverses in banach and hilbert spaces
+Normal rank
@@ Property / cites work @@
+The Mathematics of Computerized Tomography
@@ Property / cites work: The Mathematics of Computerized Tomography / rank @@
+Normal rank