A PDE method for estimation of implied volatility

DOI10.1080/14697688.2019.1675898zbMath1467.91213OpenAlexW2907334833WikidataQ126806631 ScholiaQ126806631MaRDI QIDQ4991029

Radoš Radoičić, Ivan Matic, Dan Stefanica

Publication date: 2 June 2021

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

Full work available at URL: https://doi.org/10.1080/14697688.2019.1675898

zbMATH Keywords

Black-Scholes modelpartial differential equationsBachelier modelimplied volatilitiesnumerical methods for option pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32)

Related Items (1)

PDE-method-for-implied-volatility

Uses Software

• GitHub

Cites Work

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