Reconstruction of local volatility surface from American options
DOI10.1515/jiip-2019-0085OpenAlexW4281699170MaRDI QIDQ2681231
Publication date: 7 February 2023
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-2019-0085
Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) PDE constrained optimization (numerical aspects) (49M41)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
- An inverse problem of identifying the coefficient of first-order in a degenerate parabolic equation
- An inverse problem arisen in the zero-coupon bond pricing
- Non-recombining trinomial tree pricing model and calibration for the volatility smile
- Repeated spatial extrapolation: an extraordinarily efficient approach for option pricing
- An inverse problem of determining the implied volatility in option pricing
- A penalty-based method from reconstructing smooth local volatility surface from American options
- Identifying the volatility of underlying assets from option prices
- Recovery of time-dependent volatility in option pricing model
- Bicubic Spline Interpolation
- Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
- Pricing and hedging derivative securities in markets with uncertain volatilities
- Computational Methods for Option Pricing
- An Inverse Problem for a Parabolic Variational Inequality Arising in Volatility Calibration with American Options
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Calibrating volatility function bounds for an uncertain volatility model
- Option pricing when underlying stock returns are discontinuous
- Natural Cubic and Bicubic Spline Interpolation
This page was built for publication: Reconstruction of local volatility surface from American options
