Stable local volatility function calibration using spline kernel

DOI10.1007/s10589-013-9543-xzbMath1273.91436OpenAlexW2132943005MaRDI QIDQ2393653

Yuying Li, Cheng Wang, Thomas F. Coleman

Publication date: 8 August 2013

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10589-013-9543-x

zbMATH Keywords

option pricingcalibrationtrust region methodspline kernellocal volatility function\(L_1\) optimization

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Reconstruction of the time-dependent volatility function using the Black-Scholes model

Cites Work

• The Pricing of Options and Corporate Liabilities
• Calibration and hedging under jump diffusion
• Using radial basis functions to construct local volatility surfaces
• On the convergence of interior-reflective Newton methods for nonlinear minimization subject to bounds
• A Reflective Newton Method for Minimizing a Quadratic Function Subject to Bounds on Some of the Variables
• An Interior Trust Region Approach for Nonlinear Minimization Subject to Bounds
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
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