Reconstruction of volatility surfaces: a first computational study

DOI10.14658/PUPJ-DRNA-2022-3-5zbMATH Open1540.91087MaRDI QIDQ6556648

Salvatore Cuomo, Federica Sica, Luca Rizzo, Alessandra De Rossi

Publication date: 17 June 2024

Published in: Dolomites Research Notes on Approximation (Search for Journal in Brave)

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical interpolation (65D05)

Cites Work

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• The pricing of options and corporate liabilities
• A radial basis function partition of unity collocation method for convection-diffusion equations arising in financial applications
• The partition of unity finite element method: basic theory and applications
• Optimal selection of local approximants in RBF-PU interpolation
• Error estimates and condition numbers for radial basis function interpolation
• Greeks computation in the option pricing problem by means of RBF-PU methods
• Radial basis function partition of unity methods for pricing vanilla basket options
• Partition of unity methods for signal processing on graphs
• RBF methods in a stochastic volatility framework for Greeks computation
• A two-stage adaptive scheme based on RBF collocation for solving elliptic PDEs
• Error indicators and refinement strategies for solving Poisson problems through a RBF partition of unity collocation scheme
• Partition of unity interpolation using stable kernel-based techniques
• Radial Basis Functions
• BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Scattered Data Approximation

Related Items (2)

GBFPUM -- a MATLAB package for partition of unity based signal interpolation and approximation on graphs ⋮ 5-th Dolomites Workshop on Constructive Approximation and Applications -- special issue dedicated to Robert Schaback on the occasion of his 75th birthday

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