Calibration of the temporally varying volatility and interest rate functions
DOI10.1080/00207160.2021.1948539zbMATH Open1496.91091OpenAlexW3176345690MaRDI QIDQ5072033FDOQ5072033
Chaeyoung Lee, Yongho Choi, Jisang Lyu, Soobin Kwak, Sangkwon Kim, Eunchae Park, Hyeongseok Hwang, Changwoo Yoo, Junseok Kim, Wonjin Lee
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
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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)
Cites Work
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- Exact solutions of a Black-Scholes model with time-dependent parameters by utilizing potential symmetries
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- A generalization of the Geske formula for compound options
- Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab\(^\circledR\) codes)
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- An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate
- AN APPLICATION OF MELLIN TRANSFORM TECHNIQUES TO A BLACK–SCHOLES EQUATION PROBLEM
- An inverse European option problem in estimating the time-dependent volatility function with statistical analysis
- A stochastic local volatility technique for TARN options
- The collocating local volatility framework – a fresh look at efficient pricing with smile
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