Numerical techniques for determining implied volatility in option pricing

DOI10.1016/J.CAM.2022.114913MaRDI QIDQ2104087zbMATH OpenOpenAlexFDO

Authors 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

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)

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Cites work

• scientific article; zbMATH DE number 2030292 (Why is no real title available?)
• scientific article; zbMATH DE number 2233868 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A fast calibrating volatility model for option pricing
• A new well-posed algorithm to recover implied local volatility
• An introduction to optimization
• An inverse problem of determining the implied volatility in option pricing
• Asymptotics and calibration of local volatility models
• Calibrating volatility surfaces via relative-entropy minimization
• Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
• Computational Methods for Option Pricing
• Linear and nonlinear programming.
• Mathematical models of financial derivatives
• Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization
• Reconstructing the unknown local volatility function
• Reconstruction of the time-dependent volatility function using the Black-Scholes model
• Recovery of time-dependent volatility in option pricing model
• The pricing of options and corporate liabilities
• The tangential cone condition for the iterative calibration of local volatility surfaces

Cited in

(8)

• Recovering a piecewise constant volatility from perpetual put option prices
• Estimation of option's volatility based on particle swarm optimization algorithm
• An inverse finance problem for estimation of the volatility
• An implementation of Bouchouev's method for a short time calibration of option pricing models
• Fast reconstruction of time-dependent market volatility for European options
• Recovering the time-dependent volatility in jump-diffusion models from nonlocal price observations
• Recovery of time-dependent volatility in option pricing model
• Implied volatility under BS-BHM-updated model using Newton Raphson method

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