Reconstruction of volatility surfaces: a first computational study

DOI10.14658/PUPJ-DRNA-2022-3-5MaRDI QIDQ6556648zbMATH OpenFDO

Authors Salvatore Cuomo, Alessandra De Rossi, Luca Rizzo, Federica Sica

Publication date 17 June 2024

Published in Dolomites Research Notes on Approximation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.14658/PUPJ-DRNA-2022-3-5

Mathematics Subject Classification ID

Numerical interpolation (65D05) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A radial basis function partition of unity collocation method for convection-diffusion equations arising in financial applications
• A two-stage adaptive scheme based on RBF collocation for solving elliptic PDEs
• BENCHOP -- SLV: the BENCHmarking project in option pricing -- stochastic and local volatility problems
• Error estimates and condition numbers for radial basis function interpolation
• Error indicators and refinement strategies for solving Poisson problems through a RBF partition of unity collocation scheme
• Greeks computation in the option pricing problem by means of RBF-PU methods
• scientific article; zbMATH DE number 1981794 (Why is no real title available?)
• scientific article; zbMATH DE number 1463063 (Why is no real title available?)
• Meshfree approximation methods with Matlab. With CD-ROM.
• Optimal selection of local approximants in RBF-PU interpolation
• Partition of unity interpolation using stable kernel-based techniques
• Partition of unity methods for signal processing on graphs
• Radial basis function partition of unity methods for pricing vanilla basket options
• Radial Basis Functions
• RBF methods in a stochastic volatility framework for Greeks computation
• Scattered Data Approximation
• Scattered data approximation by positive definite kernel functions
• The partition of unity finite element method: basic theory and applications
• The pricing of options and corporate liabilities

Cited in

(2)

• GBFPUM -- a MATLAB package for partition of unity based signal interpolation and approximation on graphs
• 5-th Dolomites Workshop on Constructive Approximation and Applications -- special issue dedicated to Robert Schaback on the occasion of his 75th birthday

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