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

DOI10.1080/00207160802676638zbMATH Open1163.91403OpenAlexW2150281747MaRDI QIDQ3636735FDOQ3636735

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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

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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)

Cites Work

• Financial Modelling with Jump Processes
• Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
• Title not available (Why is that?)
• Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
• A convergence rates result for Tikhonov regularization in Banach spaces with non-smooth operators
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
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• ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS
• An Inverse Problem for a Parabolic Variational Inequality Arising in Volatility Calibration with American Options
• Modulus of continuity of Nemytskii operators with application to the problem of option pricing
• Title not available (Why is that?)
• The inverse problem of option pricing
• On the nature of ill-posedness of an inverse problem arising in option pricing
• On decoupling of volatility smile and term structure in inverse option pricing
• Calibrating volatility surfaces via relative-entropy minimization
• Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
• Convergence Rates for Maximum Entropy Regularization
• Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability
• Ill-posedness versus ill-conditioning–an example from inverse option pricing

Cited In (1)

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