A new well-posed algorithm to recover implied local volatility
From MaRDI portal
Recommendations
- Calibration of the local volatility surface
- Calibrating volatility surfaces via relative-entropy minimization
- Recovery of the local volatility function using regularization and a gradient projection method
- COMPUTATION OF LOCAL VOLATILITIES FROM REGULARIZED DUPIRE EQUATIONS
- The regularized implied local volatility equations -- a new model to recover the volatility of underlying asset from observed market option price
Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Calibrating volatility surfaces via relative-entropy minimization
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- scientific article; zbMATH DE number 243519 (Why is no real title available?)
- scientific article; zbMATH DE number 3277871 (Why is no real title available?)
- Identifying the volatility of underlying assets from option prices
- Initial value methods for boundary value problems. Theory and application of invariant imbedding
- Optimal control of a phase field model for solidification
- Optimal control of semilinear elliptic variational bilateral problem
- Option pricing when underlying stock returns are discontinuous
- Option pricing: A simplified approach
- The inverse problem of option pricing
- The pricing of options and corporate liabilities
- Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
Cited in
(34)- Identifying the radiative coefficient of an evolutional type heat conduction equation by optimization method
- An inverse problem of identifying the coefficient in a nonlinear parabolic equation
- Identifying the implied volatility using the total variation regularization
- Inverse source problem for parabolic equation with the condition of integral observation in time
- How should a local regime-switching model be calibrated?
- Calibration of stochastic volatility models: a Tikhonov regularization approach
- Recovery of local volatility for financial assets with mean-reverting price processes
- Recovery of the time-dependent implied volatility of time fractional Black-Scholes equation using linearization technique
- Numerical techniques for determining implied volatility in option pricing
- An inverse problem of reconstructing option drift rate from market observation data
- Drift coefficient inversion problem of Kolmogorov-type equation
- An optimal control method for nonlinear inverse diffusion coefficient problem
- Simultaneous identification of two time independent coefficients in a nonlinear phase field system
- Numerical simulation for an inverse source problem in a degenerate parabolic equation
- An inverse problem of determining the shape of rotating body by temperature measurements
- An inverse volatility problem of financial products linked with gold price
- Inverse problem of determining the right-hand side in a degenerating parabolic equation with unbounded coefficients
- On inverse problems for strongly degenerate parabolic equations under the integral observation condition
- Identifying the coefficient of first-order in parabolic equation from final measurement data
- Solving an inverse parabolic problem by optimization from final measurement data
- Recovery of the local volatility function using regularization and a gradient projection method
- A penalty-based method from reconstructing smooth local volatility surface from American options
- On the solvability of the inverse problem for determining the right-hand side of a degenerate parabolic equation with integral observation
- Calibrating volatility surfaces via relative-entropy minimization
- Implied Volatility from Local Volatility: A Path Integral Approach
- Option pricing with Weyl-Titchmarsh theory
- scientific article; zbMATH DE number 7295154 (Why is no real title available?)
- On implied volatility recovery of a time-fractional Black-Scholes equation for double barrier options
- Uniqueness and stability of the minimizer for a binary functional arising in an inverse heat conduction problem
- Optimization method for a multi-parameters identification problem in degenerate parabolic equations
- Total variation regularization analysis for inverse volatility option pricing problem
- Convergence analysis of option drift rate inverse problem based on degenerate parabolic equation
- An inverse problem of identifying the coefficient of parabolic equation
- An inverse problem arisen in the zero-coupon bond pricing
This page was built for publication: A new well-posed algorithm to recover implied local volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4647290)
