On implied volatility recovery of a time-fractional Black-Scholes equation for double barrier options

DOI10.1080/00036811.2020.1712369zbMath1484.91518OpenAlexW2999920797WikidataQ126329519 ScholiaQ126329519MaRDI QIDQ5164907

Xiaoying Jiang, Xiang Xu

Publication date: 15 November 2021

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

Full work available at URL: https://doi.org/10.1080/00036811.2020.1712369

zbMATH Keywords

Fredholm integral equationuniquenesstime-fractional partial differential equationreconstruct volatility

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Fredholm integral equations (45B05) Inverse problems for integral equations (45Q05) Fractional partial differential equations (35R11)

Related Items (max. 100)

Recovery of the time-dependent implied volatility of time fractional Black-Scholes equation using linearization technique

Cites Work

• The Pricing of Options and Corporate Liabilities
• Finite difference approximations for the fractional Fokker-Planck equation
• Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations
• Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1\)]
• The fractional calculus. Theory and applications of differentiation and integration to arbitrary order
• Fractals and fractional calculus in continuum mechanics
• Solution for a fractional diffusion-wave equation defined in a bounded domain
• Numerical approximation of a time-fractional Black-Scholes equation
• Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
• Numerical solution of the time fractional Black-Scholes model governing European options
• A new operator splitting method for American options under fractional Black-Scholes models
• Recovery of time-dependent volatility in option pricing model
• The quasi-optimality criterion for classical inverse problems
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
• Recovery of volatility coefficient by linearization
• A new well-posed algorithm to recover implied local volatility
• A tutorial on inverse problems for anomalous diffusion processes
• Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
• On decoupling of volatility smile and term structure in inverse option pricing
• Use of the regularization method in non-linear problems
• The random walk's guide to anomalous diffusion: A fractional dynamics approach
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: On implied volatility recovery of a time-fractional Black-Scholes equation for double barrier options