An inverse problem of determining the implied volatility in option pricing

DOI10.1016/j.jmaa.2007.07.075zbMath1146.91023OpenAlexW2055803569MaRDI QIDQ2467746

Zui-Cha Deng, Liu Yang, Jian-Ning Yu

Publication date: 28 January 2008

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2007.07.075

zbMATH Keywords

existenceuniquenessvolatilityEuropean optionnecessary conditionparabolic type partial differential equation

Mathematics Subject Classification ID

Inverse problems for PDEs (35R30) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (29)

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Cites Work

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• The Pricing of Options and Corporate Liabilities
• Optimal control problems for semilinear non-well-posed parabolic differential equations
• On an optimal control problem
• Solving an inverse parabolic problem by optimization from final measurement data
• Identifying the volatility of underlying assets from option prices
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
• The inverse problem of option pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
• Option pricing: A simplified approach

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