Recovery of time-dependent volatility in option pricing model-Reference-Cited by-同舟云学术

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Recovery of time-dependent volatility in option pricing model

Published:2016-09-29 Issue:11 Volume:32 Page:115010
ISSN:0266-5611
Container-title:Inverse Problems
language:
Short-container-title:Inverse Problems

Author:

Deng Zui-Cha,Hon Y C,Isakov V

Funder

NNSF

Research Grant Council of the Hong Kong Special Administartive Region

National Science Foundation

Publisher

IOP Publishing

Subject

Applied Mathematics,Computer Science Applications,Mathematical Physics,Signal Processing,Theoretical Computer Science

Link

https://iopscience.iop.org/article/10.1088/0266-5611/32/11/115010/pdf

Reference19 articles.

1. On the choice of the Tikhonov regularization parameter and the discretization level: A discrepancy-based strategy

2. Calibrating volatility surfaces via relative-entropy minimization

3. Asymptotics and calibration of local volatility models

4. Recovery of volatility coefficient by linearization

5. The inverse problem of option pricing

Cited by 26 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Lie Symmetries and the Invariant Solutions of the Fractional Black–Scholes Equation under Time-Dependent Parameters;Fractal and Fractional;2024-04-29

2. Total variation regularization analysis for inverse volatility option pricing problem;International Journal of Computer Mathematics;2024-04-24

3. Calibration of Local Volatility Surfaces from Observed Market Call and Put Option Prices;Computational Economics;2024-04-05

4. Numerical Determination of Time-Dependent Volatility for American Option When the Optimal Exercise Boundary Is Known;Lecture Notes in Computer Science;2024

5. Computation of the Unknown Time-Dependent Volatility of American Options from Integral Observations;Lecture Notes in Computer Science;2024

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