The inverse volatility problem for American options
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Second-order parabolic equations (35K10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Inverse problems for PDEs (35R30) Numerical methods for inverse problems for boundary value problems involving PDEs (65N21) Corporate finance (dividends, real options, etc.) (91G50)
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- American options under stochastic volatility
- American options in the Volterra Heston model
- Probabilistic solution of the American options
- ON THE AMERICAN OPTION PROBLEM
- Valuation of volatility derivatives as an inverse problem
Cites work
- A nonlinear partial differential equation for american options in the entire domain of the state variable
- A variational method for numerical differentiation
- Calibration of the local volatility in a trinomial tree using Tikhonov regularization
- Conditional well-posedness for an elliptic inverse problem
- Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options
- scientific article; zbMATH DE number 3933858 (Why is no real title available?)
- scientific article; zbMATH DE number 3440822 (Why is no real title available?)
- scientific article; zbMATH DE number 274379 (Why is no real title available?)
- scientific article; zbMATH DE number 5499200 (Why is no real title available?)
- scientific article; zbMATH DE number 3424452 (Why is no real title available?)
- Lavrentiev’s Theorem and Error Estimation in Elliptic Inverse Problems
- On the recovery of multiple flow parameters from transient head data
- Sobolev gradients and differential equations
- The pricing of options and corporate liabilities
- Uniqueness for an Elliptic Inverse Problem
- Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
- Volatility calibration with American options
Cited in
(9)- An inverse problem of determining the implied volatility in option pricing
- An inverse problem in American options as a mathematical program with equilibrium constraints: C-stationarity and an active-set-Newton solver
- FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES
- The inverse problem of option pricing
- Sensitivity of American option prices with different strikes, maturities and volatilities
- An inverse finance problem for estimating volatility in American option pricing under jump-diffusion dynamics
- An Inverse Problem for a Parabolic Variational Inequality Arising in Volatility Calibration with American Options
- The inverse volatility problem for European options
- On certain representations of pricing functionals
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