An inverse finance problem for estimation of the volatility

DOI10.1134/S0965542513010090zbMath1274.91433OpenAlexW2105006127MaRDI QIDQ2838796

Abdolsadeh Neisy, K. Salmani

Publication date: 3 July 2013

Published in: Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0965542513010090

zbMATH Keywords

inverse problemBlack-Scholes modelTikhonov regularizationmarket volatilityjump-diffusion model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (5)

Recovering the time-dependent volatility in jump-diffusion models from nonlocal price observations ⋮ An RBF approach for oil futures pricing under the jump-diffusion model ⋮ Computation of the unknown volatility from integral option price observations in jump-diffusion models ⋮ The calibration of volatility for option pricing models with jump diffusion processes ⋮ An inverse finance problem for estimating volatility in American option pricing under jump-diffusion dynamics

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