Reconstruction of local volatility for the binary option model

DOI10.1515/JIIP-2013-0051zbMath1351.35265OpenAlexW2512830070MaRDI QIDQ2520115

Shunsuke Kaji, Yasushi Ota

Publication date: 13 December 2016

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-2013-0051

zbMATH Keywords

inverse problemlocal volatilitybinary option

Mathematics Subject Classification ID

Heat equation (35K05) Inverse problems for PDEs (35R30)

Related Items (4)

Bayesian inference approach to inverse problems in a financial mathematical model ⋮ Inverse parabolic problem with the Heaviside function arising in finance ⋮ Parameters identification for an inverse problem arising from a binary option using a Bayesian inference approach ⋮ Application of microlocal analysis to an inverse problem arising from financial markets

Cites Work

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• Identifying the volatility of underlying assets from option prices
• Carleman estimates for parabolic equations and applications
• Inverse problems and Carleman estimates
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
• The inverse problem of option pricing
• Recovery of volatility coefficient by linearization
• Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
• On decoupling of volatility smile and term structure in inverse option pricing
• Inverse problems for partial differential equations

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