Calibration of a nonlinear feedback option pricing model

DOI10.1080/14697680601019522zbMath1278.91167OpenAlexW3125131712MaRDI QIDQ3439871

Simona Sanfelici

Publication date: 18 May 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680601019522

zbMATH Keywords

option pricingpartial differential equationsquantitative financeimplied volatilitiesparameter estimation techniquesnumerical methods for option pricingoption pricing via simulation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Assessing the quality of volatility estimators via option pricing ⋮ An application of nonparametric volatility estimators to option pricing

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