On decoupling of volatility smile and term structure in inverse option pricing
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Publication:5486430
DOI10.1088/0266-5611/22/4/008zbMATH Open1112.91032OpenAlexW2107732435MaRDI QIDQ5486430FDOQ5486430
Authors: Herbert Egger, Torsten Hein, Bernd Hofmann 
Publication date: 6 September 2006
Published in: Inverse Problems (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/326d3137550b92bb6dcd3a04eb198eb7be2ffb69
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- Recovery of time dependent volatility coefficient by linearization
- Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs
- Calibration of the purely \(t\)-dependent Black-Scholes implied volatility
- Conservation law of strike price and inversion of the Black-Scholes formula
- Smile from the past: a general option pricing framework with multiple volatility and leverage components
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