Calibration of the local volatility surface

DOI10.3969/J.ISSN.1005-3085.2013.05.003MaRDI QIDQ5167658zbMATH OpenFDO

Authors Qinghua Ma, Shuqiang Lü, Zuoliang Xu

Publication date 30 June 2014

Full work available at URL https://doi.org/10.3969/J.ISSN.1005-3085.2013.05.003

zbMATH Keywords

calibrationEuropean optionlocal volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(21)

• An implementation of Bouchouev's method for a short time calibration of option pricing models
• Monte Carlo calibration to implied volatility surface under volatility models
• Recovery of local volatility for financial assets with mean-reverting price processes
• Data driven recovery of local volatility surfaces
• Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods
• Stable local volatility function calibration using spline kernel
• Calibrating local volatility in inverse option pricing using the Levenberg-Marquardt method
• Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization
• Online local volatility calibration by convex regularization
• Calibration of local volatility using the local and implied instantaneous variance
• Estimation of the local volatility of discount bonds using market quotes for coupon-bond options.
• The calibration of volatility for option pricing models with jump diffusion processes
• A new well-posed algorithm to recover implied local volatility
• Fitting local volatility. Analytic and numerical approaches in Black-Scholes and local variance gamma models
• Replication scheme for the pricing of European options
• Calibration of the temporally varying volatility and interest rate functions
• Existence of a calibrated regime switching local volatility model
• Short communication: Beyond surrogate modeling: learning the local volatility via shape constraints
• The tangential cone condition for the iterative calibration of local volatility surfaces
• Historical backtesting of local volatility model using aud/usd vanilla options
• Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options

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