Stable local volatility function calibration using spline kernel
DOI10.1007/S10589-013-9543-XzbMATH Open1273.91436OpenAlexW2132943005MaRDI QIDQ2393653FDOQ2393653
Thomas F. Coleman, Yuying Li, Cheng Wang
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
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option pricingcalibrationtrust region methodspline kernellocal volatility function\(L_1\) optimization
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of mathematical programming (90C90)
Cites Work
- The pricing of options and corporate liabilities
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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- Option pricing when underlying stock returns are discontinuous
- An Interior Trust Region Approach for Nonlinear Minimization Subject to Bounds
- 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
- Title not available (Why is that?)
- Calibration and hedging under jump diffusion
- Using radial basis functions to construct local volatility surfaces
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Cited In (3)
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