Recovery of volatility coefficient by linearization

DOI10.1088/1469-7688/2/4/302zbMath1405.91590OpenAlexW2126853883MaRDI QIDQ4646787

Ilia Bouchouev, Victor Isakov, Nicolas P. Valdivia

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/2/4/302

zbMATH Keywords

linearizationoption market pricesreconstruction of asset price

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (14)

Bayesian inference approach to inverse problems in a financial mathematical model ⋮ Regularization for the inverse problem of finding the purely time-dependent volatility ⋮ Stable reconstruction of the volatility in a regime-switching local-volatility model ⋮ Inverse parabolic problem with the Heaviside function arising in finance ⋮ Parameters identification for an inverse problem arising from a binary option using a Bayesian inference approach ⋮ On some inverse problems for the Black-Scholes equation ⋮ Convexification for an inverse parabolic problem ⋮ Recovery of time dependent volatility coefficient by linearization ⋮ On implied volatility recovery of a time-fractional Black-Scholes equation for double barrier options ⋮ Application of microlocal analysis to an inverse problem arising from financial markets ⋮ Recovery of the local volatility function using regularization and a gradient projection method ⋮ Reconstruction of local volatility for the binary option model ⋮ Recovery of the time-dependent implied volatility of time fractional Black-Scholes equation using linearization technique ⋮ Algorithm for determining the volatility function in the Black-Scholes model

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
• The inverse problem of option pricing
• Calibrating volatility surfaces via relative-entropy minimization
• An inverse parabolic problem arising in finance

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