Numerical techniques for determining implied volatility in option pricing

DOI10.1016/J.CAM.2022.114913zbMATH Open1505.91414OpenAlexW4307125783MaRDI QIDQ2104087FDOQ2104087

Bashiruddin Nabubie, Song Wang

Publication date: 9 December 2022

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2022.114913

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zbMATH Keywords

finite differenceimplied volatilitysteepest descent methodBlack-Scholes equationoption price

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

Cites Work

• The pricing of options and corporate liabilities
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Linear and nonlinear programming.
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• A new well-posed algorithm to recover implied local volatility
• Mathematical models of financial derivatives
• Computational Methods for Option Pricing
• A fast calibrating volatility model for option pricing
• An inverse problem of determining the implied volatility in option pricing
• Reconstructing the unknown local volatility function
• Asymptotics and calibration of local volatility models
• Calibrating volatility surfaces via relative-entropy minimization
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• The tangential cone condition for the iterative calibration of local volatility surfaces
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• Reconstruction of the time-dependent volatility function using the Black-Scholes model
• Recovery of time-dependent volatility in option pricing model
• Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization

Cited In (1)

• An implementation of Bouchouev's method for a short time calibration of option pricing models

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