An alternative tree method for calibration of the local volatility

DOI10.3934/JIMO.2020146MaRDI QIDQ2076421zbMATH OpenOpenAlexFDO

Authors Wenxiu Gong, Zuoliang Xu

Publication date 16 February 2022

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2020146

zbMATH Keywords

alternative treecalibrationnonlinear constrained optimizationoption pricingvolatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cites work

• Asymptotics of the price oscillations of a European call option in a tree model
• Binomial models for option valuation - examining and improving convergence
• Calibration of the local volatility in a trinomial tree using Tikhonov regularization
• Convergence of the trinomial tree method for pricing European/American options
• Convergence rates of trinomial tree methods for option pricing under regime-switching models
• scientific article; zbMATH DE number 45971 (Why is no real title available?)
• Implied non-recombining trees and calibration for the volatility smile
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Non-recombining trinomial tree pricing model and calibration for the volatility smile
• Smooth convergence in the binomial model
• The pricing of options and corporate liabilities
• The rate of convergence of the binomial tree scheme
• The waterline tree for separable local-volatility models

Cited in

(2)

• Efficient calibration of trinomial trees for one-factor short rate models
• Calibration of the local volatility in a trinomial tree using Tikhonov regularization

This page was built for publication: An alternative tree method for calibration of the local volatility

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2076421)