Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options

DOI10.1007/s00030-009-0027-8zbMath1179.60021OpenAlexW1978748398MaRDI QIDQ841614

Benjamin Jourdain, Aurélien Alfonsi

Publication date: 18 September 2009

Published in: NoDEA. Nonlinear Differential Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00030-009-0027-8

zbMATH Keywords

optimal stoppingnonlinear ODEscall-put dualityDupire's formulaperpetial American optionsvolatility calibration

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Inverse problems involving ordinary differential equations (34A55)

Related Items (5)

The inverse volatility problem for American options ⋮ Stochastic flow approach to Dupire's formula ⋮ Recovering a time-homogeneous stock price process from perpetual option prices ⋮ Recovering a Piecewise Constant Volatility from Perpetual Put Option Prices ⋮ Constructing time-homogeneous generalized diffusions consistent with optimal stopping values

Cites Work

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• Dupire-like identities for complex options
• Volatility misspecification, option pricing and superreplication via coupling
• Stochastic flow approach to Dupire's formula
• On the optimal stopping problem for one-dimensional diffusions.
• GENERAL DUALITY FOR PERPETUAL AMERICAN OPTIONS
• Robustness of the Black and Scholes Formula
• Changes of numéraire, changes of probability measure and option pricing

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