Robust and accurate reconstruction of the time-dependent continuous volatility from option prices
DOI10.1007/S40314-024-02837-WzbMATH Open1545.91307MaRDI QIDQ6576417FDOQ6576417
Authors: Y. Hwang, Tae-Hee Lee, Soobin Kwak, Seungyoon Kang, Seokjun Ham, Junseok Kim 
Publication date: 22 July 2024
Published in: Computational and Applied Mathematics (Search for Journal in Brave)
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
Cites Work
- The pricing of options and corporate liabilities
- Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
- Title not available (Why is that?)
- Robustness of Delta Hedging for Path-Dependent Options in Local Volatility Models
- Asymptotics of implied volatility in local volatility models
- An alternative approach to solving the Black-Scholes equation with time-varying parameters
- Accurate and efficient computations of the Greeks for options near expiry using the Black-Scholes equations
- Reconstruction of the time-dependent volatility function using the Black-Scholes model
- Fast reconstruction of time-dependent market volatility for European options
- Recovery of the time-dependent implied volatility of time fractional Black-Scholes equation using linearization technique
- Semi-implicit FEM for the valuation of American options under the Heston model
- Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance
- Calibration of the temporally varying volatility and interest rate functions
- A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model
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