Recovering the local volatility in Black–Scholes model by numerical differentiation

DOI10.1080/00036810500475025zbMATH Open1207.91072OpenAlexW1993164026WikidataQ58246746 ScholiaQ58246746MaRDI QIDQ5481697FDOQ5481697

Yuzhang Ye, B. B. Yin

Publication date: 10 August 2006

Published in: Applicable Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00036810500475025

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zbMATH Keywords

Tikhonov regularizationlocal volatilityBlack-Scholes modelnumerical differentiationDupire formula

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32) Numerical differentiation (65D25)

Cites Work

• Identifying the volatility of underlying assets from option prices
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
• Reconstruction of numerical derivatives from scattered noisy data
• The inverse problem of option pricing
• Numerical differentiation for two-dimensional scattered data

Cited In (11)

• Reconstruction of the time-dependent volatility function using the Black-Scholes model
• Numerical differentiation and its applications
• Title not available (Why is that?)
• A Hermite extension method for numerical differentiation
• Numerical differentiation by a Fourier extension method with super-order regularization
• Estimation of local volatilities in a generalized Black-Scholes model
• Numerical differentiation for two-dimensional functions by a Fourier extension method
• A numerical differentiation method based on Legendre expansion with super order Tikhonov regularization
• On nonlinear ill-posed inverse problems with applications to pricing of defaultable bonds and option pricing
• Recovering the local volatility of underlying assets
• An FFT method for the numerical differentiation

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