Calibration of the local volatility in a trinomial tree using Tikhonov regularization

DOI10.1088/0266-5611/19/1/306MaRDI QIDQ4807847zbMATH OpenOpenAlexFDO

Authors Stéphane Crépey

Publication date 2003

Published in Inverse Problems (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/3ba0f8571790ba37f3b0815c4e7afa02f377483d

zbMATH Keywords

diffusion coefficientmathematical financeprice of an optionvolatility

Mathematics Subject Classification ID

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Cited in

(28)

• Sequential quadratic programming method for volatility estimation in option pricing
• The adjoint method for the inverse problem of option pricing
• Efficient calibration of trinomial trees for one-factor short rate models
• A perturbative approach for reconstructing diffusion coefficients
• An alternative tree method for calibration of the local volatility
• Stable reconstruction of the volatility in a regime-switching local-volatility model
• The calibration of stochastic local-volatility models: an inverse problem perspective
• Non-recombining trinomial tree pricing model and calibration for the volatility smile
• Identifying the coefficient of first-order in parabolic equation from final measurement data
• Calibrating local volatility in inverse option pricing using the Levenberg-Marquardt method
• An introduction to particle methods with financial applications
• An improved Markov chain approximation methodology: derivatives pricing and model calibration
• Convex regularization of local volatility estimation
• Arbitrage-free smoothing of the implied volatility surface
• Convex regularization of local volatility models from option prices: convergence analysis and rates
• Multiasset derivatives and joint distributions of asset prices
• Delta-hedging vega risk?
• ADAPTIVE FINITE ELEMENT METHODS FOR LOCAL VOLATILITY EUROPEAN OPTION PRICING
• COMPUTATION OF LOCAL VOLATILITIES FROM REGULARIZED DUPIRE EQUATIONS
• Entropy binomial tree method and calibration for the volatility smile
• The tangential cone condition for the iterative calibration of local volatility surfaces
• Reconstructing local volatility using total variation
• Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market
• Estimation of risk-neutral density surfaces
• Traveling wave solutions of an equation of Harry Dym type arising in the Black-Scholes framework
• A splitting strategy for the calibration of jump-diffusion models
• The inverse volatility problem for American options
• An inverse problem arisen in the zero-coupon bond pricing

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