Volatility estimation from observed option prices

DOI10.1007/S102030050004zbMath0988.91034OpenAlexW1977629275MaRDI QIDQ5944948

Phelim P. Boyle, Draviam Thangaraj

Publication date: 11 March 2002

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s102030050004

zbMATH Keywords

Fokker-Planck equationoption pricevolatility smile

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Robust and accurate construction of the local volatility surface using the Black-Scholes equation ⋮ Numerical Procedure for Calibration of Volatility with American Options ⋮ Recovery of time-dependent parameters of a Black-Scholes-type equation: an inverse Stieltjes moment approach ⋮ VOLATILITY SMILE BY MULTILEVEL LEAST SQUARE ⋮ Data driven recovery of local volatility surfaces ⋮ A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE

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