A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE
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Publication:3606399
DOI10.1142/S0219024908004993zbMATH Open1185.91195OpenAlexW2083229504MaRDI QIDQ3606399FDOQ3606399
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
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Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)
Cites Work
- The pricing of options and corporate liabilities
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Option pricing when underlying stock returns are discontinuous
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Volatility estimation from observed option prices
- Stochastic implied volatility. A factor-based model.
- Calibrating volatility surfaces via relative-entropy minimization
- Title not available (Why is that?)
- Counterparty risk pricing under correlation between default and interest rates
- AN APPLICATION OF MELLIN TRANSFORM TECHNIQUES TO A BLACK–SCHOLES EQUATION PROBLEM
Cited In (5)
- Determining volatility surfaces and option values from an implied volatility smile
- 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
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