Computation of the unknown volatility from integral option price observations in jump-diffusion models

DOI10.1016/J.MATCOM.2021.05.008OpenAlexW3163909849MaRDI QIDQ2664823

Slavi G. Georgiev, Lubin G. Vulkov

Publication date: 18 November 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2021.05.008

zbMATH Keywords

finite difference schemeimplied volatilityjump-diffusion modelintegral observationtime-dependent inverse problem

Mathematics Subject Classification ID

Numerical analysis (65-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

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

Cites Work

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