Recovering the Time-Dependent Volatility in Jump-Diffusion Models from Nonlocal Price Observations
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Publisher
Springer International Publishing
Link
https://link.springer.com/content/pdf/10.1007/978-3-030-97549-4_58
Reference10 articles.
1. Andersen, L., Andreasen, J.: Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing. Rev. Deriv. Res. 4, 231–262 (2000)
2. Clift, S.S., Forsyth, P.A.: Numerical solution of two asset jump diffusion models for option valuation. Appl. Num. Math. 58, 743–782 (2008)
3. Georgiev, S.G., Vulkov, L.G.: Computation of the unknown volatility from integral option price observations in jump-diffusion models. Math. Comp. Sim. 188, 591–608 (2021)
4. Georgiev, S.G., Vulkov, L.G.: Computation of time-dependent implied volatility from point observations for European options under jump-diffusion models. In: AIP Conference Proceedings, vol. 2172, p. 070006 (2019)
5. Hofmann, B., Hein, T.: Well-posed and ill-posed situations in option pricing problems when the volatility is purely time-dependent. Proc. Appl. Math. Mech. 3, 450–451 (2003)
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