Calibration of local volatility using the local and implied instantaneous variance

DOI10.21314/JCF.2009.195zbMath1181.91357MaRDI QIDQ3400794

Gabriel Turinici

Publication date: 5 February 2010

Published in: The Journal of Computational Finance (Search for Journal in Brave)

zbMATH Keywords

optionsimplied volatilityGauss-Newton approximationstrike independent local volatility

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Quadratic programming (90C20) Financial applications of other theories (91G80)

Related Items (3)

REDUCED-ORDER MODELS FOR THE IMPLIED VARIANCE UNDER LOCAL VOLATILITY ⋮ Parameter identification in financial market models with a feasible point SQP algorithm ⋮ Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization

Uses Software

• SQPlab

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