The calibration of volatility for option pricing models with jump diffusion processes
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Euler-Lagrange equationfinite difference methoditerative algorithmjump-diffusion modelTikhonov regularization
Probabilistic models, generic numerical methods in probability and statistics (65C20) 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) Statistical methods; risk measures (91G70)
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Cites work
- A computational scheme for option under jump diffusion processes
- A jump-diffusion model for option pricing
- An introduction to the mathematical theory of inverse problems
- An inverse finance problem for estimation of the volatility
- Exact solutions for bond and option prices with systematic jump risk
- Finite difference methods in financial engineering. A partial differential approach. With CD-ROM
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Mathematical models of financial derivatives
- Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization
- Option pricing when underlying stock returns are discontinuous
- Pricing and hedging derivative securities in markets with uncertain volatilities
- Robust numerical methods for contingent claims under jump diffusion processes
- The pricing of options and corporate liabilities
Cited in
(27)- Monte Carlo calibration to implied volatility surface under volatility models
- Recovery of local volatility for financial assets with mean-reverting price processes
- Fast reconstruction of time-dependent market volatility for European options
- Robust and accurate construction of the local volatility surface using the Black-Scholes equation
- Estimation and prediction under local volatility jump-diffusion model
- Pricing vulnerable option under jump-diffusion model with incomplete information
- Computation of the unknown volatility from integral option price observations in jump-diffusion models
- Gradient computation for model calibration with pointwise observations
- A regularized algorithm for calibrating implied volatility of jump diffusion models
- Robust Numerical Calibration for Implied Volatility Expansion Models
- Local variance gamma and explicit calibration to option prices
- An inverse problem of calibrating volatility in jump-diffusion option pricing models
- scientific article; zbMATH DE number 5346998 (Why is no real title available?)
- Calibration and hedging under jump diffusion
- The use of statistical tests to calibrate the Black-Scholes asset dynamics model applied to pricing options with uncertain volatility
- Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability
- scientific article; zbMATH DE number 6999659 (Why is no real title available?)
- On the calibration of local jump-diffusion asset price models
- Replication scheme for the pricing of European options
- Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models
- Calibration of the temporally varying volatility and interest rate functions
- Calibration of the local volatility surface
- scientific article; zbMATH DE number 7155558 (Why is no real title available?)
- The bilateral Gamma motion: calibration and option pricing
- The calibration of volatility for european option under fractional stochastic interest rate model
- A splitting strategy for the calibration of jump-diffusion models
- Specification tests of calibrated option pricing models
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