A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE

DOI10.1142/S0219024908004993zbMath1185.91195OpenAlexW2083229504MaRDI QIDQ3606399

Rogemar S. Mamon, Marianito R. Rodrigo

Publication date: 26 February 2009

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

Full work available at URL: https://doi.org/10.1142/s0219024908004993

zbMATH Keywords

inverse problemnonlinear systemimplied volatilityansatz approachDupire's equation

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Recovery of time-dependent parameters of a Black-Scholes-type equation: an inverse Stieltjes moment approach

Cites Work

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• Calibrating volatility surfaces via relative-entropy minimization
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
• Volatility estimation from observed option prices

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