On the calibration of local jump-diffusion asset price models
DOI10.1007/S00780-011-0159-7zbMATH Open1303.91180OpenAlexW2061371796MaRDI QIDQ484208FDOQ484208
Authors: Stefan Kindermann, Philipp A. Mayer 
Publication date: 18 December 2014
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-011-0159-7
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- scientific article; zbMATH DE number 6999659
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)
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Cited In (14)
- 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
- On sequential calibration for an asset price model with piecewise Lévy processes
- Calibration and hedging under jump diffusion
- Calibrating the Black-Derman-Toy model: some theoretical results
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