A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE

DOI10.1142/S0219024908004993MaRDI QIDQ3606399zbMATH OpenOpenAlexFDO

Authors Marianito R. Rodrigo, Rogemar Mamon

Publication date 26 February 2009

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024908004993

zbMATH Keywords

inverse problemnonlinear systemimplied volatilityansatz approachDupire's equation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

Recommendations

• Reconstruction of local volatility surface from American options
• Robust and accurate construction of the local volatility surface using the Black-Scholes equation
• Reconstructing local volatility using total variation
• Modeling and implementation of local volatility surfaces in Bayesian framework
• COMPUTATION OF LOCAL VOLATILITIES FROM REGULARIZED DUPIRE EQUATIONS

Cites work

• scientific article; zbMATH DE number 1253576 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• AN APPLICATION OF MELLIN TRANSFORM TECHNIQUES TO A BLACK–SCHOLES EQUATION PROBLEM
• Calibrating volatility surfaces via relative-entropy minimization
• Counterparty risk pricing under correlation between default and interest rates
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Option pricing when underlying stock returns are discontinuous
• Stochastic implied volatility. A factor-based model.
• The pricing of options and corporate liabilities
• Volatility estimation from observed option prices

Cited in

(9)

• Determining volatility surfaces and option values from an implied volatility smile
• Robust and accurate construction of the local volatility surface using the Black-Scholes equation
• Modeling and implementation of local volatility surfaces in Bayesian framework
• A penalty-based method from reconstructing smooth local volatility surface from American options
• Recovery of time-dependent parameters of a Black-Scholes-type equation: an inverse Stieltjes moment approach
• On Estimation of Volatility Surface and Prediction of Future Spot Volatility
• Using radial basis functions to construct local volatility surfaces
• Reconstruction of local volatility surface from American options
• Bi-cubic B-spline fitting-based local volatility model with mean reversion process

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