An alternative tree method for calibration of the local volatility

DOI10.3934/JIMO.2020146zbMath1499.91138OpenAlexW3087866006MaRDI QIDQ2076421

Wenxiu Gong, Zuo-liang Xu

Publication date: 16 February 2022

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2020146

zbMATH Keywords

option pricingcalibrationvolatilitynonlinear constrained optimizationalternative tree

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
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• The rate of convergence of the binomial tree scheme
• The waterline tree for separable local-volatility models
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• Convergence rates of trinomial tree methods for option pricing under regime-switching models
• Convergence of the trinomial tree method for pricing European/American options
• Smooth convergence in the binomial model
• Binomial models for option valuation - examining and improving convergence
• Calibration of the local volatility in a trinomial tree using Tikhonov regularization
• Asymptotics of the price oscillations of a European call option in a tree model
• Implied non-recombining trees and calibration for the volatility smile

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