Recovery of the time-dependent implied volatility of time fractional Black-Scholes equation using linearization technique
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Publication:2048231
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Cites work
- A new well-posed algorithm to recover implied local volatility
- A tutorial on inverse problems for anomalous diffusion processes
- An inverse problem of determining the implied volatility in option pricing
- Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
- Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
- scientific article; zbMATH DE number 1264681 (Why is no real title available?)
- scientific article; zbMATH DE number 6932973 (Why is no real title available?)
- scientific article; zbMATH DE number 936298 (Why is no real title available?)
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- On decoupling of volatility smile and term structure in inverse option pricing
- On implied volatility recovery of a time-fractional Black-Scholes equation for double barrier options
- On Maximum Entropy Regularization for a Specific Inverse Problem of Option Pricing
- Reconstruction of the time-dependent volatility function using the Black-Scholes model
- Recovery of time dependent volatility coefficient by linearization
- Recovery of time-dependent volatility in option pricing model
- Recovery of volatility coefficient by linearization
- Solution for a fractional diffusion-wave equation defined in a bounded domain
- The pricing of options and corporate liabilities
- The random walk's guide to anomalous diffusion: A fractional dynamics approach
- The tangential cone condition for the iterative calibration of local volatility surfaces
- Use of the regularization method in non-linear problems
Cited in
(12)- Reconstruction of the time-dependent volatility function using the Black-Scholes model
- Recovery of time-dependent parameters of a Black-Scholes-type equation: an inverse Stieltjes moment approach
- Recovery of time-dependent volatility in option pricing model
- On implied volatility recovery of a time-fractional Black-Scholes equation for double barrier options
- Robust and accurate reconstruction of the time-dependent continuous volatility from option prices
- Regularization methods for identifying initial value of a time-fractional Black–Scholes equation
- Stable approximation of unbounded matrix operators for the simultaneous inversion of source terms and initial values in time-fractional Black-Scholes equation
- Simultaneous identification of fractional order and time-dependent source term of a time-fractional Black-Scholes equation
- Simplified quasi-reversibility regularization for a nonlinear time-fractional Black-Scholes initial value inversion
- Analysis of a novel fractional order hyper-chaotic system: dynamics, stability and synchronization analysis
- Tikhonov regularization for simultaneous inversion of initial value and source term of a time-fractional Black-Scholes equation
- An inverse problem for calibrating the volatility in time fractional jump-diffusion option pricing model
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