On the calibration of local jump-diffusion asset price models

DOI10.1007/s00780-011-0159-7zbMath1303.91180OpenAlexW2061371796MaRDI QIDQ484208

Philipp A. Mayer, Stefan Kindermann

Publication date: 18 December 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-011-0159-7

zbMATH Keywords

inverse problemTikhonov regularizationill-posed problemjump-diffusion processeslocal Lévy modelrobust calibration

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solution to inverse problems in abstract spaces (65J22) Integro-partial differential equations (35R09)

Related Items

Multiasset Derivatives and Joint Distributions of Asset Prices, Stochastic transmission in epidemiological models, How to make Dupire’s local volatility work with jumps, A splitting strategy for the calibration of jump-diffusion models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Spectral calibration of exponential Lévy models
• Identification of the local speed function in a Lévy model for option pricing
• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
• The cumulant process and Esscher's change of measure
• Maß- und Integrationstheorie.
• Option price when the stock is a semimartingale
• Arbitrage-free market models for option prices: the multi-strike case
• Local volatility dynamic models
• Risk-neutral compatibility with option prices
• Integro-differential equations for option prices in exponential Lévy models
• Forward equations for option prices in semimartingale models
• Well posedness and convergence of some regularisation methods for non-linear ill posed problems
• TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION
• Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
• Convergence rates for Tikhonov regularisation of non-linear ill-posed problems
• TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
• WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS
• [https://portal.mardi4nfdi.de/wiki/Publication:4043914 Diffusion processes associated with L�vy generators]
• Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
• Regularization of exponentially ill-posed problems
• Convergence rates of convex variational regularization
• THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS
• Financial Modelling with Jump Processes
• A convergence rates result for Tikhonov regularization in Banach spaces with non-smooth operators
• Fast deterministic pricing of options on Lévy driven assets
• Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
• Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
• On decoupling of volatility smile and term structure in inverse option pricing
• Regularization of ill-posed problems in Banach spaces: convergence rates
• Numerical Procedure for Calibration of Volatility with American Options
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
• On the asymptotic order of accuracy of Tikhonov regularization