Estimation of local volatilities in a generalized Black-Scholes model

DOI10.1016/J.AMC.2004.02.001zbMath1079.91022OpenAlexW1982883904MaRDI QIDQ1765852

Taekkeun Kim, Chung-Ki Cho, Yong-Hoon Kwon

Publication date: 23 February 2005

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2004.02.001

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

An accurate solution for the generalized Black-Scholes equations governing option pricing ⋮ A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation ⋮ Numerical solution of generalized Black-Scholes model ⋮ Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation ⋮ Reconstructing local volatility using total variation ⋮ A robust and accurate finite difference method for a generalized Black-Scholes equation ⋮ A Laplace transform finite difference method for the Black-Scholes equation

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Estimation techniques for distributed parameter systems
• Far Field Boundary Conditions for Black--Scholes Equations
• Identifying the volatility of underlying assets from option prices
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
• The inverse problem of option pricing
• Equivalent Norms for Sobolev Spaces

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