Reconstruction of the local volatility function using the Black–Scholes model-Reference-Cited by-同舟云学术

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Reconstruction of the local volatility function using the Black–Scholes model

Published:2021-04 Issue: Volume:51 Page:101341
ISSN:1877-7503
Container-title:Journal of Computational Science
language:en
Short-container-title:Journal of Computational Science

Author:

Kim Sangkwon,Han Hyunsoo,Jang Hanbyeol,Jeong Darae,Lee Chaeyoung,Lee Wonjin,Kim Junseok

Funder

National Research Foundation of Korea

Publisher

Elsevier BV

Subject

Modeling and Simulation,General Computer Science,Theoretical Computer Science

Reference22 articles.

1. The pricing of options and corporate liabilities;Black;J. Political Econ.,1973

2. Filling the gaps smoothly;Itkin;J. Comput. Sci.,2018

3. Estimating option greeks under the stochastic volatility using simulation;Shafi;Physica A,2018

4. Skewness versus Kurtosis: Implications for pricing and hedging options;Kim;Asia Pac. J. Financ. Stud.,2017

5. An adjoint method for the exact calibration of stochastic local volatility models;Wyns;J. Comput. Sci.,2018

Cited by 7 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. Robust and accurate reconstruction of the time-dependent continuous volatility from option prices;Computational and Applied Mathematics;2024-07

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

3. A Practical Monte Carlo Method for Pricing Equity-Linked Securities with Time-Dependent Volatility and Interest Rate;Computational Economics;2023-04-30

4. Numerical Techniques for Determining Implied Volatility in Option Pricing;Journal of Computational and Applied Mathematics;2023-04

5. Reconstructing the Local Volatility Surface from Market Option Prices;Mathematics;2022-07-21

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