Robust and accurate reconstruction of the time-dependent continuous volatility from option prices

DOI10.1007/S40314-024-02837-WMaRDI QIDQ6576417zbMATH OpenFDO

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)

zbMATH Keywords

finite difference methodBlack-Scholes equationcontinuous volatility

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 2233868 (Why is no real title available?)
• A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model
• Accurate and efficient computations of the Greeks for options near expiry using the Black-Scholes equations
• An alternative approach to solving the Black-Scholes equation with time-varying parameters
• Asymptotics of implied volatility in local volatility models
• Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
• Calibration of the temporally varying volatility and interest rate functions
• Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance
• Fast reconstruction of time-dependent market volatility for European options
• Reconstruction of the time-dependent volatility function using the Black-Scholes model
• Recovery of the time-dependent implied volatility of time fractional Black-Scholes equation using linearization technique
• Robustness of Delta Hedging for Path-Dependent Options in Local Volatility Models
• Semi-implicit FEM for the valuation of American options under the Heston model
• The pricing of options and corporate liabilities

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