An inverse finance problem for estimating volatility in American option pricing under jump-diffusion dynamics
DOI10.22124/JMM.2019.13082.1258zbMath1463.91201OpenAlexW2965755198MaRDI QIDQ5212568
Abdolsadeh Neisy, Mandana Bidarvand
Publication date: 29 January 2020
Full work available at URL: https://jmm.guilan.ac.ir/article_3539_7524d7ee675c67e0cb49bdbc9642a909.pdf
Numerical methods (including Monte Carlo methods) (91G60) Inverse problems for PDEs (35R30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Uses Software
Cites Work
- A Jump-Diffusion Model for Option Pricing
- Penalty methods for American options with stochastic volatility
- An inverse problem of determining the implied volatility in option pricing
- An inverse finance problem for estimation of the volatility
- Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
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