Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability

DOI10.1111/1467-9965.00005MaRDI QIDQ4548071zbMATH OpenOpenAlexFDO

Authors Dominick Samperi

Publication date 6 April 2003

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9965.00005

zbMATH Keywords

derivative security pricingimplicit function theoremnonlinear partial differential equationsstochastic optimal control

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• A strong unique continuation theorem for parabolic equations
• Calibrating volatility surfaces via relative-entropy minimization
• Efficient hedging: cost versus shortfall risk
• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• Information structures and viable price systems
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• Martingales and arbitrage in multiperiod securities markets

Cited in

(9)

• Calibration of stochastic volatility models: a Tikhonov regularization approach
• Calibrating the model parameters in pricing using the trust region method
• Convex regularization of local volatility estimation
• Some aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility
• Multiasset derivatives and joint distributions of asset prices
• scientific article; zbMATH DE number 6999659 (Why is no real title available?)
• Calibration parameters for the Hull-White short-term rate model based on a regularization method
• Calibrating volatility function bounds for an uncertain volatility model
• In memoriam: Marco Avellaneda (1955–2022)

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