VOLATILITY SMILE BY MULTILEVEL LEAST SQUARE

DOI10.1142/S0219024902001602zbMath1107.91319OpenAlexW2046463176MaRDI QIDQ3022068

Olivier Pironneau, Yves Achdou

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024902001602

zbMATH Keywords

finite element methodscalibrationEuropean optionsleast square methodsDupire equation

Mathematics Subject Classification ID

Related Items (4)

Numerical Procedure for Calibration of Volatility with American Options ⋮ ADAPTIVE FINITE ELEMENT METHODS FOR LOCAL VOLATILITY EUROPEAN OPTION PRICING ⋮ Sequential quadratic programming method for volatility estimation in option pricing ⋮ A viscoelastic model with non-local damping application to the human lungs

Cites Work

• Feasible direction interior-point technique for nonlinear optimization
• Identifying the volatility of underlying assets from option prices
• Time Discretization of Parabolic Problems by the HP-Version of the Discontinuous Galerkin Finite Element Method
• Calibrating volatility surfaces via relative-entropy minimization
• Behaviour of the free boundary in electromagnetic shaping when the surface tension vanishes
• Volatility estimation from observed option prices

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