Calibration of implied volatility with American options

MaRDI QIDQ2886586zbMATH OpenFDO

Authors Chang Jin, Xijun Ni, Qinghua Ma

Publication date 1 June 2012

Published in Mathematics in Practice and Theory (Search for Journal in Brave)

zbMATH Keywords

American optioncalibrationimplied volatilityregularization

Mathematics Subject Classification ID

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

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(9)

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• A regularized algorithm for calibrating implied volatility of jump diffusion models
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• Calibration of Stock Betas from Skews of Implied Volatilities
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• Calibration to American options: numerical investigation of the de-americanization method
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• Numerical Procedure for Calibration of Volatility with American Options
• Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes

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