Using radial basis functions to construct local volatility surfaces

DOI10.1016/j.amc.2010.10.046zbMath1237.91216OpenAlexW2045433169WikidataQ57931974 ScholiaQ57931974MaRDI QIDQ621034

Sumit K. Garg

Publication date: 2 February 2011

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2010.10.046

zbMATH Keywords

radial basis functionlocal volatility surfacesnon-linear optimisation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Stable local volatility function calibration using spline kernel ⋮ Reconstruction of the time-dependent volatility function using the Black-Scholes model

Cites Work

• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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