An inverse problem of calibrating volatility in jump-diffusion option pricing models

MaRDI QIDQ3008289zbMATH OpenFDO

Authors Chang Jin, Qinghua Ma, Zuoliang Xu

Publication date 15 June 2011

Full work available at URL http://ebooks.worldscinet.com/ISBN/9789814327862/9789814327862_0009.html

zbMATH Keywords

Gauss-Newton methodjump diffusion modelregularizationrelative entropyvolatility

Mathematics Subject Classification ID

Numerical solutions of ill-posed problems in abstract spaces; regularization (65J20) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(16)

• Calibration of the volatility in option pricing using the total variation regularization
• Recovering the time-dependent volatility in jump-diffusion models from nonlocal price observations
• The calibration of stochastic local-volatility models: an inverse problem perspective
• An inverse problem of determining the implied volatility in option pricing
• Computation of the unknown volatility from integral option price observations in jump-diffusion models
• An inverse finance problem for estimation of the volatility
• A regularized algorithm for calibrating implied volatility of jump diffusion models
• Calibrating local volatility in inverse option pricing using the Levenberg-Marquardt method
• Ill-posedness and multi-parameter regularization in an identification problem for jump diffusion processes
• Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
• Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability
• The calibration of volatility for option pricing models with jump diffusion processes
• On the calibration of local jump-diffusion asset price models
• An inverse finance problem for estimating volatility in American option pricing under jump-diffusion dynamics
• Total variation regularization analysis for inverse volatility option pricing problem
• A splitting strategy for the calibration of jump-diffusion models

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