Numerical Procedure for Calibration of Volatility with American Options

DOI10.1080/1350486042000297252zbMath1138.91414OpenAlexW2077902743MaRDI QIDQ5700149

Olivier Pironneau, Yves Achdou

Publication date: 27 October 2005

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486042000297252

Mathematics Subject Classification ID

Related Items (5)

Error estimates for backward Euler finite element approximations of American call option valuation ⋮ On the calibration of local jump-diffusion asset price models ⋮ Wavelet compression of anisotropic integrodifferential operators on sparse tensor product spaces ⋮ Data driven recovery of local volatility surfaces ⋮ Sharp error estimate for implicit finite element scheme for American put option

Cites Work

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• Variational inequalities and the pricing of American options
• Feasible direction interior-point technique for nonlinear optimization
• Optimal control of elliptic variational inequalities
• Inverse Coefficient Problems for Variational Inequalities: Optimality Conditions and Numerical Realization
• VOLATILITY SMILE BY MULTILEVEL LEAST SQUARE
• Semi–Smooth Newton Methods for Variational Inequalities of the First Kind
• The Primal-Dual Active Set Strategy as a Semismooth Newton Method
• Calibrating volatility surfaces via relative-entropy minimization
• Optimal Control of Obstacle Problems: Existence of Lagrange Multipliers
• Volatility estimation from observed option prices

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