On implied volatility recovery of a time-fractional Black-Scholes equation for double barrier options (Q5164907): Difference between revisions

Latest revision as of 12:07, 10 October 2024

scientific article; zbMATH DE number 7426399

Language	Label	Description	Also known as
English	On implied volatility recovery of a time-fractional Black-Scholes equation for double barrier options	scientific article; zbMATH DE number 7426399

Statements

instance of

scholarly article

0 references

title

On implied volatility recovery of a time-fractional Black-Scholes equation for double barrier options (English)

0 references

0 references

0 references

0 references

15 November 2021

0 references

zbMATH Keywords

time-fractional partial differential equation

0 references

reconstruct volatility

0 references

Fredholm integral equation

0 references

uniqueness

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1080/00036811.2020.1712369

0 references

cites work

The Pricing of Options and Corporate Liabilities

0 references

Q5699297

0 references

Fractals and fractional calculus in continuum mechanics

0 references

Q4740120

0 references

Q4438488

0 references

Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations

0 references

Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\)

0 references

Analytically pricing double barrier options based on a time-fractional Black-Scholes equation

0 references

Numerical solution of the time fractional Black-Scholes model governing European options

0 references

Numerical approximation of a time-fractional Black-Scholes equation

0 references

A new operator splitting method for American options under fractional Black-Scholes models

0 references

Finite difference approximations for the fractional Fokker-Planck equation

0 references

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

0 references

Recovery of volatility coefficient by linearization

0 references

Recovery of time-dependent volatility in option pricing model

0 references

Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates

0 references

A new well-posed algorithm to recover implied local volatility

0 references

On decoupling of volatility smile and term structure in inverse option pricing

0 references

The random walk's guide to anomalous diffusion: A fractional dynamics approach

0 references

Q4233638

0 references

The fractional calculus. Theory and applications of differentiation and integration to arbitrary order

0 references

Q4947421

0 references

Solution for a fractional diffusion-wave equation defined in a bounded domain

0 references

A tutorial on inverse problems for anomalous diffusion processes

0 references

Q4036638

0 references

Q4895893

0 references

Use of the regularization method in non-linear problems

0 references

The quasi-optimality criterion for classical inverse problems

0 references

Identifiers

zbMATH Open document ID

1484.91518

0 references

DOI

10.1080/00036811.2020.1712369

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5164907

@@ Property / full work available at URL @@
+https://doi.org/10.1080/00036811.2020.1712369
+Normal rank
@@ Property / OpenAlex ID @@
+W2999920797
@@ Property / OpenAlex ID: W2999920797 / rank @@
+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 @@
+Q5699297
@@ Property / cites work: Q5699297 / rank @@
+Normal rank
@@ Property / cites work @@
+Fractals and fractional calculus in continuum mechanics
+Normal rank
@@ Property / cites work @@
+Q4740120
@@ Property / cites work: Q4740120 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4438488
@@ Property / cites work: Q4438488 / rank @@
+Normal rank
@@ Property / cites work @@
+Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations
+Normal rank
@@ Property / cites work @@
+Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\)
+Normal rank
@@ Property / cites work @@
+Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
+Normal rank
@@ Property / cites work @@
+Numerical solution of the time fractional Black-Scholes model governing European options
+Normal rank
@@ Property / cites work @@
+Numerical approximation of a time-fractional Black-Scholes equation
+Normal rank
@@ Property / cites work @@
+A new operator splitting method for American options under fractional Black-Scholes models
+Normal rank
@@ Property / cites work @@
+Finite difference approximations for the fractional Fokker-Planck equation
+Normal rank
@@ Property / cites work @@
+Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
+Normal rank
@@ Property / cites work @@
+Recovery of volatility coefficient by linearization
+Normal rank
@@ Property / cites work @@
+Recovery of time-dependent volatility in option pricing model
+Normal rank
@@ Property / cites work @@
+Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
+Normal rank
@@ Property / cites work @@
+A new well-posed algorithm to recover implied local volatility
+Normal rank
@@ Property / cites work @@
+On decoupling of volatility smile and term structure in inverse option pricing
+Normal rank
@@ Property / cites work @@
+The random walk's guide to anomalous diffusion: A fractional dynamics approach
+Normal rank
@@ Property / cites work @@
+Q4233638
@@ Property / cites work: Q4233638 / rank @@
+Normal rank
@@ Property / cites work @@
+The fractional calculus. Theory and applications of differentiation and integration to arbitrary order
+Normal rank
@@ Property / cites work @@
+Q4947421
@@ Property / cites work: Q4947421 / rank @@
+Normal rank
@@ Property / cites work @@
+Solution for a fractional diffusion-wave equation defined in a bounded domain
+Normal rank
@@ Property / cites work @@
+A tutorial on inverse problems for anomalous diffusion processes
+Normal rank
@@ Property / cites work @@
+Q4036638
@@ Property / cites work: Q4036638 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4895893
@@ Property / cites work: Q4895893 / rank @@
+Normal rank
@@ Property / cites work @@
+Use of the regularization method in non-linear problems
+Normal rank
@@ Property / cites work @@
+The quasi-optimality criterion for classical inverse problems
+Normal rank
@@ Property / Wikidata QID @@
+Q126329519
@@ Property / Wikidata QID: Q126329519 / rank @@
+Normal rank