Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability

DOI10.1111/1467-9965.00005zbMath1008.91034OpenAlexW3121900390MaRDI QIDQ4548071

Dominick Samperi

Publication date: 6 April 2003

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

Full work available at URL: https://doi.org/10.1111/1467-9965.00005

zbMATH Keywords

stochastic optimal controlnonlinear partial differential equationsimplicit function theoremderivative security pricing

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (5)

Calibration of stochastic volatility models: a Tikhonov regularization approach ⋮ Multiasset Derivatives and Joint Distributions of Asset Prices ⋮ In memoriam: Marco Avellaneda (1955–2022) ⋮ CONVEX REGULARIZATION OF LOCAL VOLATILITY ESTIMATION ⋮ Some aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility

Cites Work

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• Martingales and arbitrage in multiperiod securities markets
• A strong unique continuation theorem for parabolic equations
• Efficient hedging: cost versus shortfall risk
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• Calibrating volatility surfaces via relative-entropy minimization

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