The regularized implied local volatility equations -- a new model to recover the volatility of underlying asset from observed market option price
DOI10.3934/DCDSB.2012.17.2017zbMATH Open1273.35169OpenAlexW2328121935MaRDI QIDQ449296FDOQ449296
Publication date: 12 September 2012
Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcdsb.2012.17.2017
Recommendations
- Recover implied volatility of underlying asset from European option price
- Recovery of the local volatility function using regularization and a gradient projection method
- Recovering the local volatility of underlying assets
- COMPUTATION OF LOCAL VOLATILITIES FROM REGULARIZED DUPIRE EQUATIONS
- The total variation model for determining the implied volatility in option pricing
PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Inverse problems for PDEs (35R30) Existence theories for optimal control problems involving partial differential equations (49J20) Variational inequalities (49J40) Optimality conditions for problems involving partial differential equations (49K20) Sensitivity, stability, well-posedness (49K40) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85)
Cited In (4)
- Total variation regularization analysis for inverse volatility option pricing problem
- Calibration of stochastic volatility models: a Tikhonov regularization approach
- Entropy binomial tree method and calibration for the volatility smile
- An inverse problem of reconstructing option drift rate from market observation data
This page was built for publication: The regularized implied local volatility equations -- a new model to recover the volatility of underlying asset from observed market option price
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q449296)
