Reconstructing smooth local volatility surfaces for cryptocurrency options

DOI10.1007/S40819-025-02066-7MaRDI QIDQ7288716zbMATH OpenFDO

Authors Yunjae Nam, Y. Hwang, Junseok Kim

Publication date 1 July 2026

Published in International Journal of Applied and Computational Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S40819-025-02066-7

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cites work

• A fast compact difference scheme with unequal time-steps for the tempered time-fractional Black–Scholes model
• A fast implicit difference scheme with nonuniform discretized grids for the time-fractional Black-Scholes model
• Application of two-dimensional Fibonacci wavelets in fractional partial differential equations arising in the financial market
• Efficient numerical scheme for generalized Black-Scholes equations on piecewise uniform Shishkin-type mesh
• Far field boundary conditions for Black-Scholes equations
• Numerical valuation of American options with liquidity shocks using IMEX methods
• Option pricing using the IMEX-AVF method with high jump intensity
• Practical implementation of boundary conditions in the Thomas algorithm
• Reconstruction of local volatility surface from American options
• Robust and accurate reconstruction of the time-dependent continuous volatility from option prices
• Short maturity conditional Asian options in local volatility models
• The pricing of options and corporate liabilities

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