Robust and accurate construction of the local volatility surface using the Black-Scholes equation

DOI10.1016/J.CHAOS.2021.111116zbMATH Open1498.91450OpenAlexW3176463049MaRDI QIDQ2145459FDOQ2145459

Junseok Kim, Sangkwon Kim

Publication date: 17 June 2022

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2021.111116

zbMATH Keywords

option pricingFDMlocal volatility surfacenonlinear curve-fit

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

• The pricing of options and corporate liabilities
• Volatility estimation from observed option prices
• An Inverse Problem for a Parabolic Variational Inequality Arising in Volatility Calibration with American Options
• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
• The calibration of volatility for option pricing models with jump diffusion processes
• A computationally efficient numerical approach for multi-asset option pricing
• From volatility smiles to the volatility of volatility
• Multi-asset Black-Scholes model as a variable second class constrained dynamical system
• Calibration of the volatility in option pricing using the total variation regularization
• 2017 MATRIX annals
• Reconstruction of the time-dependent volatility function using the Black-Scholes model
• Fitting Local Volatility
• Title not available (Why is that?)
• A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model
• Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model

Cited In (5)

• About the valuation of American option under Black-Scholes model: a numerical study
• Practical finite difference method for solving multi-dimensional Black-Scholes model in fractal market
• Title not available (Why is that?)
• RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients
• RBF based some implicit-explicit finite difference schemes for pricing option under extended jump-diffusion model

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