Reconstruction of the time-dependent volatility function using the Black-Scholes model

DOI10.1155/2018/3093708zbMath1422.91766OpenAlexW2801890224WikidataQ129868635 ScholiaQ129868635MaRDI QIDQ1727049

Jian Wang, Youngjin Heo, Junseok Kim, Sangkwon Kim, Changwoo Yoo, Yuzi Jin, Darae Jeong, Young Rock Kim

Publication date: 20 February 2019

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2018/3093708

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Nonlinear parabolic equations (35K55) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Robust and accurate construction of the local volatility surface using the Black-Scholes equation ⋮ Fast reconstruction of time-dependent market volatility for European options ⋮ Recovery of the time-dependent implied volatility of time fractional Black-Scholes equation using linearization technique ⋮ Numerical techniques for determining implied volatility in option pricing

Uses Software

• Matlab

Cites Work

• The Pricing of Options and Corporate Liabilities
• Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect
• A robust and accurate finite difference method for a generalized Black-Scholes equation
• Using radial basis functions to construct local volatility surfaces
• Accurate and efficient computations of the Greeks for options near expiry using the Black-Scholes equations
• Efficient option pricing in crisis based on dynamic elasticity of variance model
• Stable local volatility function calibration using spline kernel
• Pricing collar options with stochastic volatility
• Recovery of time-dependent volatility in option pricing model
• Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization
• Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
• From local volatility to local Lévy models
• How to make Dupire’s local volatility work with jumps

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