Recovery of time dependent volatility coefficient by linearization

DOI10.3934/eect.2014.3.119zbMath1291.35444arXiv1307.4781OpenAlexW2962962531MaRDI QIDQ2438347

Victor Isakov

Publication date: 11 March 2014

Published in: Evolution Equations and Control Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.4781

zbMATH Keywords

integral transformsinverse problemsparabolic equationsinverse option pricingderivatives securities

Mathematics Subject Classification ID

Inverse problems for PDEs (35R30) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (12)

Algebraic resolution of equations of the Black-Scholes type with arbitrary time-dependent parameters ⋮ Identifying the implied volatility using the total variation regularization ⋮ The pricing of European options on two underlying assets with delays ⋮ Stable reconstruction of the volatility in a regime-switching local-volatility model ⋮ Inverse parabolic problem with the Heaviside function arising in finance ⋮ On some inverse problems for the Black-Scholes equation ⋮ Numerical Identification of Time-Dependent Volatility in European Options with Two-Stage Regime-Switching ⋮ An ill-posed problem for the Black–Scholes equation for a profitable forecast of prices of stock options on real market data ⋮ Fast reconstruction of time-dependent market volatility for European options ⋮ Recovery of the time-dependent implied volatility of time fractional Black-Scholes equation using linearization technique ⋮ Algorithm for determining the volatility function in the Black-Scholes model ⋮ An inverse volatility problem of financial products linked with gold price

Cites Work

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• The Pricing of Options and Corporate Liabilities
• An inverse problem of determining the implied volatility in option pricing
• Inverse parabolic problems with the final overdetermination
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
• The inverse problem of option pricing
• Calibrating volatility surfaces via relative-entropy minimization
• Asymptotics and calibration of local volatility models
• Recovery of volatility coefficient by linearization
• An inverse parabolic problem arising in finance
• Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
• On decoupling of volatility smile and term structure in inverse option pricing
• Inverse problems for partial differential equations

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