The adjoint method for the inverse problem of option pricing

DOI10.1155/2014/314104zbMath1407.91275OpenAlexW2076303020WikidataQ59065775 ScholiaQ59065775MaRDI QIDQ1718099

Yu-Hua Zeng, Yu-Fei Yang, Shou-Lei Wang

Publication date: 8 February 2019

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/314104

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical mathematical programming methods (65K05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32)

Related Items (4)

Identifying the implied volatility using the total variation regularization ⋮ On some inverse problems for the Black-Scholes equation ⋮ First-order and second-order adjoint methods for parameter identification problems with an application to the elasticity imaging inverse problem ⋮ Fast reconstruction of time-dependent market volatility for European options

Uses Software

• L-BFGS

Cites Work

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• Nonlinear total variation based noise removal algorithms
• The Pricing of Options and Corporate Liabilities
• On the limited memory BFGS method for large scale optimization
• An inverse problem of determining the implied volatility in option pricing
• A new formula for computing implied volatility
• Identifying the volatility of underlying assets from option prices
• Calibration of the local volatility in a trinomial tree using Tikhonov regularization
• A NUMERICAL METHOD TO COMPUTE THE VOLATILITY OF THE FRACTIONAL BROWNIAN MOTION IMPLIED BY AMERICAN OPTIONS
• Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates

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