Reconstructing the unknown local volatility function
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- Reconstruction of the time-dependent volatility function using the Black-Scholes model
- Adjoint-based Monte Carlo calibration of financial methods
- Numerical techniques for determining implied volatility in option pricing
- No-arbitrage interpolation of the option price function and its reformulation
- A penalty-based method from reconstructing smooth local volatility surface from American options
- Stable local volatility function calibration using spline kernel
- Historical backtesting of local volatility model using aud/usd vanilla options
- Recovering the real-world density and liquidity premia from option data
- Jacobian-free implicit inner-iteration preconditioner for nonlinear least squares problems
- Numerical identification of time-dependent volatility in European options with two-stage regime-switching
- Learning minimum variance discrete hedging directly from the market
- Estimation of risk-neutral density surfaces
- Reconstruction of local volatility surface from American options
- A penalty method for American options with jump diffusion processes
- Bayesian uncertainty quantification of local volatility model
- Bi-cubic B-spline fitting-based local volatility model with mean reversion process
- Calibration and hedging under jump diffusion
- Reconstructing local volatility using total variation
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