Recover implied volatility of underlying asset from European option price

DOI10.1515/JIIP.2009.031zbMath1167.91372OpenAlexW2123689170MaRDI QIDQ5191069

Lu Lu, Lei Yi

Publication date: 28 July 2009

Published in: Journal of Inverse and Ill-posed Problems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jiip.2009.031

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for inverse problems for integral equations (65R32)

Related Items (5)

Identifying the implied volatility using the total variation regularization ⋮ Regularization for the inverse problem of finding the purely time-dependent volatility ⋮ Calibration of the purely T-dependent Black–Scholes implied volatility ⋮ Recovery of the local volatility function using regularization and a gradient projection method ⋮ An inverse volatility problem of financial products linked with gold price

Cites Work

• The Pricing of Options and Corporate Liabilities
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
• The inverse problem of option pricing
• On the nature of ill-posedness of an inverse problem arising in option pricing
• 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

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