scientific article; zbMATH DE number 7295154

DOI10.14182/J.CNKI.1001-2443.2020.04.004MaRDI QIDQ5143089zbMATH OpenFDO

Authors

Publication date 14 January 2021

Full work available at URL https://doi.org/10.14182/J.CNKI.1001-2443.2020.04.004

zbMATH Keywords

existenceimplied volatilityinverse problemoptimal controluniqueness

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Recommendations

• Reconstructing volatility: Pricing of index options under rough volatility
• Reconstruction of the time-dependent volatility function using the Black-Scholes model
• Computing the implied volatility in stochastic volatility models
• scientific article; zbMATH DE number 2163514
• Identifying the implied volatility using the total variation regularization
• Implicit expectiles and measures of implied volatility
• A PDE method for estimation of implied volatility
• MEAN-REVERTING STOCHASTIC VOLATILITY
• On asymptotically arbitrage-free approximations of the implied volatility
• A new well-posed algorithm to recover implied local volatility

Cited in

(3)

• Reconstruction of the time-dependent volatility function using the Black-Scholes model
• Recovery of local volatility for financial assets with mean-reverting price processes
• scientific article; zbMATH DE number 1114380 (Why is no real title available?)

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5143089)