The calibration of volatility for option pricing models with jump diffusion processes

DOI10.1080/00036811.2017.1403588zbMath1407.91278OpenAlexW2768632108MaRDI QIDQ4622837

Xiangyu Jia, Zuo-liang Xu

Publication date: 18 February 2019

Published in: Applicable Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00036811.2017.1403588

zbMATH Keywords

iterative algorithmfinite difference methodTikhonov regularizationEuler-Lagrange equationjump-diffusion model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Probabilistic models, generic numerical methods in probability and statistics (65C20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Robust and accurate construction of the local volatility surface using the Black-Scholes equation ⋮ Computation of the unknown volatility from integral option price observations in jump-diffusion models ⋮ Fast reconstruction of time-dependent market volatility for European options ⋮ Pricing vulnerable option under jump-diffusion model with incomplete information

Cites Work

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• The Pricing of Options and Corporate Liabilities
• A Jump-Diffusion Model for Option Pricing
• Exact solutions for bond and option prices with systematic jump risk
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Mathematical models of financial derivatives
• An inverse finance problem for estimation of the volatility
• Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization
• Robust numerical methods for contingent claims under jump diffusion processes
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Option pricing when underlying stock returns are discontinuous
• An introduction to the mathematical theory of inverse problems

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