Modeling and implementation of local volatility surfaces in Bayesian framework

DOI10.1007/S10287-018-0302-4zbMATH Open1405.62136OpenAlexW2790150786MaRDI QIDQ1616807FDOQ1616807

Authors: Abdulwahab Animoku, Ö. Uğur, Yeliz Yolcu Okur 

Publication date: 7 November 2018

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-018-0302-4

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zbMATH Keywords

Bayesian analysisTikhonov regularizationlocal volatility modelrobust approach

Mathematics Subject Classification ID

Bayesian inference (62F15) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Bayesian analysis in inverse problems
• Convex regularization of local volatility models from option prices: convergence analysis and rates
• Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
• Title not available (Why is that?)
• Option pricing when underlying stock returns are discontinuous
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
• Title not available (Why is that?)
• Arbitrage-free smoothing of the implied volatility surface
• Convergence rates for Tikhonov regularisation of non-linear ill-posed problems
• Some analysis of Tikhonov regularization for the inverse problem of option pricing in the price-dependent case
• On decoupling of volatility smile and term structure in inverse option pricing
• Asymptotics and calibration of local volatility models
• COMPUTATION OF LOCAL VOLATILITIES FROM REGULARIZED DUPIRE EQUATIONS
• Inverse Problems Light: Numerical Differentiation

Cited In (3)

• A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE
• Using radial basis functions to construct local volatility surfaces
• Bayesian uncertainty quantification of local volatility model

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