On Implied Volatility Surface Construction for Stochastic Investment Models

DOI10.1007/978-3-030-36625-4_36zbMath1489.91272OpenAlexW2995155096MaRDI QIDQ5005604

M. B. Fomin, S. G. Shorokhov

Publication date: 10 August 2021

Published in: Communications in Computer and Information Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-36625-4_36

zbMATH Keywords

option pricingBlack-Scholes modelimplied volatility surfacelocal volatility model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• SciPy
• NumPy
• Matplotlib
• Python

Cites Work

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• The Pricing of Options and Corporate Liabilities
• A review on implied volatility calculation
• A new formula for computing implied volatility
• An Algorithm for Least-Squares Estimation of Nonlinear Parameters
• A method for the solution of certain non-linear problems in least squares

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