Recovering the time-dependent volatility in jump-diffusion models from nonlocal price observations
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Publication:2128477
DOI10.1007/978-3-030-97549-4_58zbMATH Open1493.91125OpenAlexW4226129115MaRDI QIDQ2128477FDOQ2128477
Authors: Slavi G. Georgiev, Lubin G. Vulkov 
Publication date: 22 April 2022
Full work available at URL: https://doi.org/10.1007/978-3-030-97549-4_58
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Cites Work
- A decision-theoretic generalization of on-line learning and an application to boosting
- Greedy function approximation: A gradient boosting machine.
- A jump-diffusion model for option pricing
- A Mathematical Theory of Communication
- Option pricing when underlying stock returns are discontinuous
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Title not available (Why is that?)
- Adjoint equations and perturbation algorithms in nonlinear problems
- Numerical solution of two asset jump diffusion models for option valuation
- Computation of the unknown volatility from integral option price observations in jump-diffusion models
- An inverse finance problem for estimation of the volatility
- Well-posed and ill-posed situations in option pricing problems when the volatility is purely time-dependent
Cited In (7)
- Fast reconstruction of time-dependent market volatility for European options
- Robust and accurate reconstruction of the time-dependent continuous volatility from option prices
- Some aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility
- 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
- An inverse European option problem in estimating the time-dependent volatility function with statistical analysis
- Recovery of time dependent volatility coefficient by linearization
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