A penalty-based method from reconstructing smooth local volatility surface from American options

DOI10.3934/jimo.2015.11.631zbMath1306.91149OpenAlexW2011350566MaRDI QIDQ2514677

Kai Zhang, Kok Lay Teo

Publication date: 3 February 2015

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2015.11.631

zbMATH Keywords

inverse problemoption pricingpenalty methodcomplementarity problemvolatility surface

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical mathematical programming methods (65K05) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

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Reconstruction of local volatility surface from American options ⋮ Unnamed Item ⋮ A measure of market volatility based on F-transform ⋮ On power penalty methods for linear complementarity problems arising from American option pricing ⋮ Fitted Finite Volume Method for Pricing American Options under Regime-Switching Jump-Diffusion Models Based on Penalty Method

Cites Work

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