Modeling and implementation of local volatility surfaces in Bayesian framework

DOI10.1007/S10287-018-0302-4MaRDI QIDQ1616807zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 936298 (Why is no real title available?)
• scientific article; zbMATH DE number 3291403 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Arbitrage-free smoothing of the implied volatility surface
• Asymptotics and calibration of local volatility models
• Bayesian analysis in inverse problems
• COMPUTATION OF LOCAL VOLATILITIES FROM REGULARIZED DUPIRE EQUATIONS
• Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
• Convergence rates for Tikhonov regularisation of non-linear ill-posed problems
• Convex regularization of local volatility models from option prices: convergence analysis and rates
• Inverse Problems Light: Numerical Differentiation
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• On decoupling of volatility smile and term structure in inverse option pricing
• Option pricing when underlying stock returns are discontinuous
• Some analysis of Tikhonov regularization for the inverse problem of option pricing in the price-dependent case
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets

Cited in

(3)

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

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