Recovering the time-dependent volatility in jump-diffusion models from nonlocal price observations

DOI10.1007/978-3-030-97549-4_58zbMath1493.91125OpenAlexW4226129115MaRDI QIDQ2128477

Slavi G. Georgiev, Lubin G. Vulkov

Publication date: 22 April 2022

Full work available at URL: https://doi.org/10.1007/978-3-030-97549-4_58

zbMATH Keywords

implied volatilityjump-diffusion modelKou modelMerton model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Uses Software

• AdaBoost.MH
• C4.5
• Scikit-multiflow

Cites Work

• Unnamed Item
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• An inverse finance problem for estimation of the volatility
• Well-posed and ill-posed situations in option pricing problems when the volatility is purely time-dependent
• Adjoint Equations and Perturbation Algorithms in Nonlinear Problems
• Option pricing when underlying stock returns are discontinuous

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