Reconstructing piecewise constant local volatility surfaces

DOI10.12941/JKSIAM.2025.29.026MaRDI QIDQ6908625zbMATH OpenFDO

Authors Yunjae Nam, Minjoon Bang, Hyundong Kim, Junseok Kim

Publication date 30 October 2025

Published in Journal of the Korean Society for Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.12941/JKSIAM.2025.29.026

zbMATH Keywords

Black-Scholes equationfinite difference methodpiecewise constant local volatility surface

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

• A two-step framework for arbitrage-free prediction of the implied volatility surface
• An adaptive finite difference method using far-field boundary conditions for the Black-Scholes equation
• An efficient and accurate adaptive time-stepping method for the Black-Scholes equations
• Approximation formulas for short-maturity near-the-money implied volatilities in the Heston and SABR models
• Bayesian uncertainty quantification of local volatility model
• Far field boundary conditions for Black-Scholes equations
• Option pricing: A simplified approach
• Physics-informed convolutional transformer for predicting volatility surface
• Reconstruction of local volatility surface from American options
• The pricing of options and corporate liabilities

Cited in

(3)

• Practical implementation of boundary conditions in the Thomas algorithm
• A numerical scheme for the implied volatility estimation of two-asset equity-linked securities
• A finite difference method for reverse step-down equity-linked securities

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