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

DOI10.1016/J.CHAOS.2021.111116MaRDI QIDQ2145459zbMATHOpenAlexFDO

Authors Sangkwon Kim, Junseok 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)

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Cites work

• scientific article; zbMATH DE number 7249206 (Why is no real title available?)
• A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model
• A computationally efficient numerical approach for multi-asset option pricing
• An Inverse Problem for a Parabolic Variational Inequality Arising in Volatility Calibration with American Options
• Calibration of the volatility in option pricing using the total variation regularization
• Fitting local volatility. Analytic and numerical approaches in Black-Scholes and local variance gamma models
• From volatility smiles to the volatility of volatility
• Multi-asset Black-Scholes model as a variable second class constrained dynamical system
• Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model
• Reconstruction of the time-dependent volatility function using the Black-Scholes model
• 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
• The pricing of options and corporate liabilities
• Volatility estimation from observed option prices

Cited in

(7)

• About the valuation of American option under Black-Scholes model: a numerical study
• RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients
• Modeling and implementation of local volatility surfaces in Bayesian framework
• RBF based some implicit-explicit finite difference schemes for pricing option under extended jump-diffusion model
• A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE
• scientific article; zbMATH DE number 7249206 (Why is no real title available?)
• Practical finite difference method for solving multi-dimensional Black-Scholes model in fractal market

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