Robust Numerical Calibration for Implied Volatility Expansion Models

DOI10.1137/15M1035215zbMath1406.91431MaRDI QIDQ2953945

Panos Parpas, Radu Baltean-Lugojan

Publication date: 11 January 2017

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

zbMATH Keywords

nonlinear least squares; parameter reductions; numerical calibration; implied volatility expansions

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

90C30: Nonlinear programming

41A60: Asymptotic approximations, asymptotic expansions (steepest descent, etc.)

91G20: Derivative securities (option pricing, hedging, etc.)

Uses Software

• TSA