Recover implied volatility of underlying asset from European option price
DOI10.1515/JIIP.2009.031zbMATH Open1167.91372OpenAlexW2123689170MaRDI QIDQ5191069FDOQ5191069
Publication date: 28 July 2009
Published in: Journal of Inverse and Ill-posed Problems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/jiip.2009.031
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Numerical methods for inverse problems for integral equations (65R32)
Cites Work
- The pricing of options and corporate liabilities
- Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
- Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
- The inverse problem of option pricing
- On the nature of ill-posedness of an inverse problem arising in option pricing
- On decoupling of volatility smile and term structure in inverse option pricing
Cited In (5)
- An inverse volatility problem of financial products linked with gold price
- Identifying the implied volatility using the total variation regularization
- Regularization for the inverse problem of finding the purely time-dependent volatility
- Calibration of the purely T-dependent Black–Scholes implied volatility
- Recovery of the local volatility function using regularization and a gradient projection method
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