Some aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility

DOI10.1080/00207160802676638MaRDI QIDQ3636735zbMATH OpenOpenAlexFDO

Authors

Publication date 29 June 2009

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160802676638

zbMATH Keywords

maximum likelihood estimationBlack-Scholes modelvolatility calibrationinverse problem of option pricingmean reverting model with time-dependent volatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Numerical solutions to equations with nonlinear operators (65J15)

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Cites work

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• Calibrating volatility surfaces via relative-entropy minimization
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• Convergence Rates for Maximum Entropy Regularization
• Financial Modelling with Jump Processes
• Ill-posedness versus ill-conditioning–an example from inverse option pricing
• Modulus of continuity of Nemytskii operators with application to the problem of option pricing
• ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS
• On decoupling of volatility smile and term structure in inverse option pricing
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• The inverse problem of option pricing
• Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets

Cited in

(4)

• Parameter identification in financial market models with a feasible point SQP algorithm
• Optimal trend estimation in geometric asset price models
• scientific article; zbMATH DE number 2030325 (Why is no real title available?)
• Assessing market uncertainty by means of a time-varying intermittency parameter for asset price fluctuations

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