Calibration of the temporally varying volatility and interest rate functions

DOI10.1080/00207160.2021.1948539MaRDI QIDQ5072033zbMATH OpenOpenAlexFDO

Authors Eunchae Park, Jisang Lyu, Sangkwon Kim, Chaeyoung Lee, Wonjin Lee, Yongho Choi, Soobin Kwak, Changwoo Yoo, Hyeongseok Hwang, Junseok Kim

Publication date 25 April 2022

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160.2021.1948539

zbMATH Keywords

calibrationvolatilityBlack-Scholes equationinterest rateoption price

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean
• A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A generalization of the Geske formula for compound options
• A stochastic local volatility technique for TARN options
• AN APPLICATION OF MELLIN TRANSFORM TECHNIQUES TO A BLACK–SCHOLES EQUATION PROBLEM
• An alternative approach to solving the Black-Scholes equation with time-varying parameters
• An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate
• An inverse European option problem in estimating the time-dependent volatility function with statistical analysis
• Exact solutions of a Black-Scholes model with time-dependent parameters by utilizing potential symmetries
• Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models
• On the Heston model with stochastic interest rates
• Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab\(^\circledR\) codes)
• The collocating local volatility framework -- a fresh look at efficient pricing with smile
• The pricing of options and corporate liabilities
• Valuing double barrier options with time-dependent parameters by Fourier series expansion

Cited in

(2)

• Robust and accurate reconstruction of the time-dependent continuous volatility from option prices
• An implementation of Bouchouev's method for a short time calibration of option pricing models

Describes a project that uses

Uses Software

• Matlab

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