Identification of the local speed function in a Lévy model for option pricing

DOI10.1216/JIE-2008-20-2-161zbMath1149.91034OpenAlexW2054511165MaRDI QIDQ935180

Philipp A. Mayer, Heinz W. Engl, Hansjoerg Albrecher, Stefan Kindermann

Publication date: 5 August 2008

Published in: Journal of Integral Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1216/jie-2008-20-2-161

zbMATH Keywords

option pricingTikhonov regularizationLévy modelcalibration method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to equations with nonlinear operators (65J15) Numerical methods for ill-posed problems for integral equations (65R30) Numerical solutions of ill-posed problems in abstract spaces; regularization (65J20)

Related Items (7)

Computation of the unknown volatility from integral option price observations in jump-diffusion models ⋮ Parameter identification in financial market models with a feasible point SQP algorithm ⋮ Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method ⋮ On the calibration of local jump-diffusion asset price models ⋮ Adjoint-based Monte Carlo calibration of financial methods ⋮ A splitting strategy for the calibration of jump-diffusion models ⋮ Stabilisation of hybrid stochastic systems with Lévy noise by discrete-time feedback control

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