VOLATILITY SMILE BY MULTILEVEL LEAST SQUARE

DOI10.1142/S0219024902001602MaRDI QIDQ3022068zbMATH OpenOpenAlexFDO

Authors Yves Achdou, Olivier Pironneau

Publication date 22 June 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024902001602

zbMATH Keywords

calibrationDupire equationEuropean optionsfinite element methodsleast square methods

Mathematics Subject Classification ID

Recommendations

• Reconstructing local volatility using total variation
• COMPUTATION OF LOCAL VOLATILITIES FROM REGULARIZED DUPIRE EQUATIONS
• Volatility estimation from observed option prices
• Calibrating local volatility in inverse option pricing using the Levenberg-Marquardt method
• Inverse problems in finance

Cites work

• Behaviour of the free boundary in electromagnetic shaping when the surface tension vanishes
• Calibrating volatility surfaces via relative-entropy minimization
• Feasible direction interior-point technique for nonlinear optimization
• Identifying the volatility of underlying assets from option prices
• Time Discretization of Parabolic Problems by the HP-Version of the Discontinuous Galerkin Finite Element Method
• Volatility estimation from observed option prices

Cited in

(10)

• Sequential quadratic programming method for volatility estimation in option pricing
• A volatility smile-based uncertainty index
• Reconstructing the unknown local volatility function
• Estimation of the local volatility of discount bonds using market quotes for coupon-bond options.
• ADAPTIVE FINITE ELEMENT METHODS FOR LOCAL VOLATILITY EUROPEAN OPTION PRICING
• COMPUTATION OF LOCAL VOLATILITIES FROM REGULARIZED DUPIRE EQUATIONS
• Reconstructing local volatility using total variation
• A viscoelastic model with non-local damping application to the human lungs
• Numerical Procedure for Calibration of Volatility with American Options
• Volatility estimation from observed option prices

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