Reconstruction of local volatility for the binary option model

DOI10.1515/JIIP-2013-0051MaRDI QIDQ2520115zbMATH OpenOpenAlexFDO

Authors Yasushi Ota, Shunsuke Kaji

Publication date 13 December 2016

Published in Journal of Inverse and Ill-posed Problems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/jiip-2013-0051

zbMATH Keywords

binary optioninverse problemlocal volatility

Mathematics Subject Classification ID

Heat equation (35K05) Inverse problems for PDEs (35R30)

Recommendations

• Reconstruction of local volatility surface from American options
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Cites work

• Carleman estimates for parabolic equations and applications
• scientific article; zbMATH DE number 1222810 (Why is no real title available?)
• scientific article; zbMATH DE number 2030292 (Why is no real title available?)
• scientific article; zbMATH DE number 3277871 (Why is no real title available?)
• Identifying the volatility of underlying assets from option prices
• Inverse problems and Carleman estimates
• Inverse problems for partial differential equations
• On decoupling of volatility smile and term structure in inverse option pricing
• Recovery of volatility coefficient by linearization
• The inverse problem of option pricing
• Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets

Cited in

(10)

• Reconstruction of the time-dependent volatility function using the Black-Scholes model
• Stable reconstruction of the volatility in a regime-switching local-volatility model
• Reconstruction of local volatility surface from American options
• Parameters identification for an inverse problem arising from a binary option using a Bayesian inference approach
• Application of microlocal analysis to an inverse problem arising from financial markets
• Bayesian inference approach to inverse problems in a financial mathematical model
• Recovering the local volatility in Black–Scholes model by numerical differentiation
• Inverse parabolic problem with the Heaviside function arising in finance
• Total variation regularization analysis for inverse volatility option pricing problem
• Convergence analysis of option drift rate inverse problem based on degenerate parabolic equation

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