A penalty-based method from reconstructing smooth local volatility surface from American options
DOI10.3934/jimo.2015.11.631zbMath1306.91149OpenAlexW2011350566MaRDI QIDQ2514677
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
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)
Related Items (max. 100)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Convergence property of an interior penalty approach to pricing American option
- Mathematical models of financial derivatives
- A computational scheme for uncertain volatility model in option pricing
- Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
- A semilinear Black and Scholes partial differential equation for valuing American options
- Power penalty method for a linear complementarity problem arising from American option valuation
- Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
- Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
- A new well-posed algorithm to recover implied local volatility
- Pricing and hedging derivative securities in markets with uncertain volatilities
- Computational Methods for Option Pricing
- Option pricing when underlying stock returns are discontinuous
This page was built for publication: A penalty-based method from reconstructing smooth local volatility surface from American options