Non-recombining trinomial tree pricing model and calibration for the volatility smile

DOI10.1515/jiip-2018-0005zbMath1480.91314OpenAlexW2898770950MaRDI QIDQ2316688

Wenxiu Gong, Zuo-liang Xu

Publication date: 6 August 2019

Published in: Journal of Inverse and Ill-Posed Problems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jiip-2018-0005

zbMATH Keywords

option pricingcalibrationvolatilitynonlinear unconstrained optimizationnon-recombining trinomial tree model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Analysis of algorithms (68W40) Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic models in economics (91B70)

Related Items

Reconstruction of local volatility surface from American options ⋮ Entropy binomial tree method and calibration for the volatility smile ⋮ An alternative tree method for calibration of the local volatility

Cites Work

• The Pricing of Options and Corporate Liabilities
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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
• VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY
• Convergence of Binomial Tree Methods for European/American Path-Dependent Options
• Calibration of the local volatility in a trinomial tree using Tikhonov regularization
• Implied non-recombining trees and calibration for the volatility smile