Numerical Procedure for Calibration of Volatility with American Options
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Cites work
- Calibrating volatility surfaces via relative-entropy minimization
- Feasible direction interior-point technique for nonlinear optimization
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- scientific article; zbMATH DE number 1222810 (Why is no real title available?)
- scientific article; zbMATH DE number 1255542 (Why is no real title available?)
- Inverse coefficient problems for variational inequalities: Optimality conditions and numerical realization
- Optimal control of elliptic variational inequalities
- Optimal Control of Obstacle Problems: Existence of Lagrange Multipliers
- Semi–Smooth Newton Methods for Variational Inequalities of the First Kind
- The Primal-Dual Active Set Strategy as a Semismooth Newton Method
- Variational inequalities and the pricing of American options
- Volatility estimation from observed option prices
- VOLATILITY SMILE BY MULTILEVEL LEAST SQUARE
Cited in
(15)- Data driven recovery of local volatility surfaces
- Error estimates for backward Euler finite element approximations of American call option valuation
- Sharp error estimate for implicit finite element scheme for American put option
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- Robust Numerical Calibration for Implied Volatility Expansion Models
- An inverse problem in American options as a mathematical program with equilibrium constraints: C-stationarity and an active-set-Newton solver
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- Wavelet compression of anisotropic integrodifferential operators on sparse tensor product spaces
- An Inverse Problem for a Parabolic Variational Inequality with an Integro-Differential Operator
- Calibration to American options: numerical investigation of the de-americanization method
- On the calibration of local jump-diffusion asset price models
- An Inverse Problem for a Parabolic Variational Inequality Arising in Volatility Calibration with American Options
- Volatility estimation from observed option prices
- Traveling wave solutions of an equation of Harry Dym type arising in the Black-Scholes framework
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