Recovering the local volatility in Black–Scholes model by numerical differentiation

DOI10.1080/00036810500475025zbMath1207.91072OpenAlexW1993164026WikidataQ58246746 ScholiaQ58246746MaRDI QIDQ5481697

Yuzhang Ye, B. B. Yin

Publication date: 10 August 2006

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

Full work available at URL: https://doi.org/10.1080/00036810500475025

zbMATH Keywords

numerical differentiationBlack-Scholes modelTikhonov regularizationlocal volatilityDupire formula

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical differentiation (65D25) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32)

Related Items (7)

Numerical differentiation and its applications ⋮ A numerical differentiation method based on Legendre expansion with super order Tikhonov regularization ⋮ An FFT method for the numerical differentiation ⋮ A Hermite extension method for numerical differentiation ⋮ Numerical differentiation for two-dimensional functions by a Fourier extension method ⋮ On nonlinear ill-posed inverse problems with applications to pricing of defaultable bonds and option pricing ⋮ Numerical differentiation by a Fourier extension method with super-order regularization

Cites Work

• Numerical differentiation for two-dimensional scattered data
• Identifying the volatility of underlying assets from option prices
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
• The inverse problem of option pricing
• Reconstruction of numerical derivatives from scattered noisy data

This page was built for publication: Recovering the local volatility in Black–Scholes model by numerical differentiation