Recovery of time-dependent volatility in option pricing model

DOI10.1088/0266-5611/32/11/115010MaRDI QIDQ2835442zbMATH OpenOpenAlexFDO

Authors Zui-Cha Deng, Y. C. Hon, Victor Isakov

Publication date 2 December 2016

Published in Inverse Problems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/0266-5611/32/11/115010

zbMATH Keywords

inverse option pricinginverse parabolic problemnumerical integral equations

Mathematics Subject Classification ID

Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(25)

• Reconstruction of the time-dependent volatility function using the Black-Scholes model
• Fast reconstruction of time-dependent market volatility for European options
• Recovery of the time-dependent implied volatility of time fractional Black-Scholes equation using linearization technique
• Numerical techniques for determining implied volatility in option pricing
• An inverse problem of reconstructing option drift rate from market observation data
• Recovering the time-dependent volatility in jump-diffusion models from nonlocal price observations
• Uniqueness for an inverse source problem in degenerate parabolic equations
• Algorithm for determining the volatility function in the Black-Scholes model
• Recovery of time dependent volatility coefficient by linearization
• Recovery of time-dependent parameters of a Black-Scholes-type equation: an inverse Stieltjes moment approach
• Reconstruction of local volatility surface from American options
• Regularization for the inverse problem of finding the purely time-dependent volatility
• Recover implied volatility in short-term interest rate model
• Recovery of volatility coefficient by linearization
• An inverse European option problem in estimating the time-dependent volatility function with statistical analysis
• Numerical identification of time-dependent volatility in European options with two-stage regime-switching
• On implied volatility recovery of a time-fractional Black-Scholes equation for double barrier options
• Generalized heat diffusion equations with variable coefficients and their fractalization from the Black-Scholes equation
• Inverse parabolic problem with the Heaviside function arising in finance
• Optimization method for a multi-parameters identification problem in degenerate parabolic equations
• Robust and accurate reconstruction of the time-dependent continuous volatility from option prices
• Total variation regularization analysis for inverse volatility option pricing problem
• Convergence analysis of option drift rate inverse problem based on degenerate parabolic equation
• Numerical determination of time-dependent volatility for American option when the optimal exercise boundary is known
• Computation of the unknown time-dependent volatility of American options from integral observations

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