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

DOI10.1080/00036810500475025MaRDI QIDQ5481697zbMATH OpenOpenAlexWikidataFDO

Authors B. B. Yin, Yuzhang Ye

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

zbMATH Keywords

Black-Scholes modelDupire formulalocal volatilitynumerical differentiationTikhonov regularization

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(16)

• On nonlinear ill-posed inverse problems with applications to pricing of defaultable bonds and option pricing
• Reconstruction of the time-dependent volatility function using the Black-Scholes model
• Estimation of local volatilities in a generalized Black-Scholes model
• Robust and accurate construction of the local volatility surface using the Black-Scholes equation
• A Hermite extension method for numerical differentiation
• Numerical differentiation by a Fourier extension method with super-order regularization
• A numerical differentiation method based on Legendre expansion with super order Tikhonov regularization
• An FFT method for the numerical differentiation
• Numerical differentiation and its applications
• Numerical differentiation for two-dimensional functions by a Fourier extension method
• scientific article; zbMATH DE number 7249206 (Why is no real title available?)
• Numerical Ross recovery for diffusion processes using a PDE approach
• Recovering the local volatility of underlying assets
• Fast numerical derivatives of univariate functions on non-uniform grids
• Numerical derivation of multivariate functions
• Fast numerical derivatives based on multi-interval Fourier extension

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