Using radial basis functions to construct local volatility surfaces

DOI10.1016/J.AMC.2010.10.046MaRDI QIDQ621034zbMATH OpenOpenAlexWikidataFDO

Authors Sumit K. Garg

Publication date 2 February 2011

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2010.10.046

zbMATH Keywords

radial basis functionlocal volatility surfacesnon-linear optimisation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options

Cited in

(7)

• Reconstruction of volatility surfaces: a first computational study
• Reconstruction of the time-dependent volatility function using the Black-Scholes model
• Modeling and implementation of local volatility surfaces in Bayesian framework
• Bi-cubic B-spline fitting-based local volatility model with mean reversion process
• Stable local volatility function calibration using spline kernel
• Implied volatility surfaces: a comprehensive analysis using half a billion option prices
• VOLATILITY SMILE INTERPOLATION WITH RADIAL BASIS FUNCTIONS

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