A PDE method for estimation of implied volatility
From MaRDI portal
Recommendations
Cites work
- A bias in the volatility smile
- A new formula for computing implied volatility
- A parametrized barycentric approximation for inverse problems with application to the Black-Scholes formula
- A review on implied volatility calculation
- A theory of regularity structures
- An adaptive successive over-relaxation method for computing the Black–Scholes implied volatility
- An explicit implied volatility formula
- Approximate inversion of the Black-Scholes formula using rational functions
- Asymptotics of implied volatility in local volatility models
- Can there be an explicit formula for implied volatility?
- Computing the implied volatility in stochastic volatility models
- Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations
- From characteristic functions to implied volatility expansions
- HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
- scientific article; zbMATH DE number 2169895 (Why is no real title available?)
- Inverse problems in finance
- Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models
- Numerical approximation of the implied volatility under arithmetic Brownian motion
- Numerical recipes in C++. The art of scientific computing
- Quantile mechanics
- SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
- THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
- The Parker-Sochacki method for solving systems of ordinary differential equations using graphics processors
- The pricing of options and corporate liabilities
- Tighter bounds for implied volatility
- Uniform bounds for Black-Scholes implied volatility
Cited in
(22)- Shape-preserving interpolation and smoothing for options market implied volatility
- Numerical techniques for determining implied volatility in option pricing
- Two-grid decoupled method for a Black-Scholes increased market volatility model
- Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations
- A new algorithm for computing implied volatility
- Reduced-order models for the implied variance under local volatility
- Estimation of partial differential equations with applications in finance
- Non-linear Principal Component Analysis of the Implied Volatility Smile using a Quantum-inspired Evolutionary Algorithm
- A Formula to Compute Implied Volatility, with Error Estimate
- Numerical approximation of the implied volatility under arithmetic Brownian motion
- A parametrized barycentric approximation for inverse problems with application to the Black-Scholes formula
- A Remark on Gatheral’s ‘Most-Likely Path Approximation’ of Implied Volatility
- scientific article; zbMATH DE number 2163491 (Why is no real title available?)
- An inverse parabolic problem arising in finance
- scientific article; zbMATH DE number 7295154 (Why is no real title available?)
- An adaptive successive over-relaxation method for computing the Black–Scholes implied volatility
- Tighter bounds for implied volatility
- Computation of the implied discount rate and volatility for an overdefined system using stochastic optimization
- Calibration of the purely t-dependent Black-Scholes implied volatility
- A modified Corrado-Miller implied volatility estimator
- PDE-method-for-implied-volatility
- Deep Curve-Dependent PDEs for Affine Rough Volatility
This page was built for publication: A PDE method for estimation of implied volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4991029)
