On the calibration of local jump-diffusion asset price models
From MaRDI portal
(Redirected from Publication:484208)
inverse problemTikhonov regularizationill-posed problemjump-diffusion processesrobust calibrationlocal Lévy model
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (35R09) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solution to inverse problems in abstract spaces (65J22)
Recommendations
- An inverse problem of calibrating volatility in jump-diffusion option pricing models
- The calibration of volatility for option pricing models with jump diffusion processes
- A splitting strategy for the calibration of jump-diffusion models
- Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
- scientific article; zbMATH DE number 6999659
Cites work
- scientific article; zbMATH DE number 1713116 (Why is no real title available?)
- scientific article; zbMATH DE number 3137662 (Why is no real title available?)
- scientific article; zbMATH DE number 4011016 (Why is no real title available?)
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 936298 (Why is no real title available?)
- A convergence rates result for Tikhonov regularization in Banach spaces with non-smooth operators
- An infinite dimensional stochastic analysis approach to local volatility dynamic models
- Arbitrage-free market models for option prices: the multi-strike case
- Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
- Convergence rates for Tikhonov regularisation of non-linear ill-posed problems
- Convergence rates of convex variational regularization
- Diffusion processes associated with L�vy generators
- Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
- Fast deterministic pricing of options on Lévy driven assets
- Financial Modelling with Jump Processes
- Forward equations for option prices in semimartingale models
- Identification of the local speed function in a Lévy model for option pricing
- Integro-differential equations for option prices in exponential Lévy models
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Local volatility dynamic models
- Maß- und Integrationstheorie.
- Mimicking the one-dimensional marginal distributions of processes having an Ito differential
- Numerical Procedure for Calibration of Volatility with American Options
- On decoupling of volatility smile and term structure in inverse option pricing
- On the asymptotic order of accuracy of Tikhonov regularization
- Option price when the stock is a semimartingale
- Regularization of exponentially ill-posed problems
- Regularization of ill-posed problems in Banach spaces: convergence rates
- Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
- Risk-neutral compatibility with option prices
- Spectral calibration of exponential Lévy models
- TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION
- TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
- THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS
- The cumulant process and Esscher's change of measure
- The minimal entropy martingale measure and the valuation problem in incomplete markets
- Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
- WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS
- Well posedness and convergence of some regularisation methods for non-linear ill posed problems
Cited in
(14)- Calibrating the Black-Derman-Toy model: some theoretical results
- How to make Dupire's local volatility work with jumps
- The calibration of volatility for option pricing models with jump diffusion processes
- Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
- How should a local regime-switching model be calibrated?
- Stochastic transmission in epidemiological models
- Multiasset derivatives and joint distributions of asset prices
- Ill-posedness and multi-parameter regularization in an identification problem for jump diffusion processes
- A splitting strategy for the calibration of jump-diffusion models
- A jump-diffusion Libor model and its robust calibration
- An inverse problem of calibrating volatility in jump-diffusion option pricing models
- A regularized algorithm for calibrating implied volatility of jump diffusion models
- Calibration and hedging under jump diffusion
- On sequential calibration for an asset price model with piecewise Lévy processes
This page was built for publication: On the calibration of local jump-diffusion asset price models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q484208)
