Recover implied volatility of underlying asset from European option price

DOI10.1515/JIIP.2009.031MaRDI QIDQ5191069zbMATH OpenOpenAlexFDO

Authors Lu Lu, Lei Yi

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

Mathematics Subject Classification ID

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)

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Cites work

• On decoupling of volatility smile and term structure in inverse option pricing
• On the nature of ill-posedness of an inverse problem arising in option pricing
• The inverse problem of option pricing
• 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

Cited in

(9)

• An inverse volatility problem of financial products linked with gold price
• Recovering a piecewise constant volatility from perpetual put option prices
• Identifying the implied volatility using the total variation regularization
• The regularized implied local volatility equations -- a new model to recover the volatility of underlying asset from observed market option price
• Regularization for the inverse problem of finding the purely time-dependent volatility
• Recover implied volatility in short-term interest rate model
• Recovery of the local volatility function using regularization and a gradient projection method
• Recovering the local volatility of underlying assets
• Calibration of the purely t-dependent Black-Scholes implied volatility

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