Computation of time–dependent implied volatility from point observations for European options under jump–diffusion models
Author:
Publisher
AIP Publishing
Link
http://aip.scitation.org/doi/pdf/10.1063/1.5133542
Reference23 articles.
1. The Pricing of Options and Corporate Liabilities
2. Implicit–explicit numerical schemes for jump–diffusion processes
3. A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
4. Robust numerical methods for contingent claims under jump diffusion processes
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1. Robust and accurate reconstruction of the time-dependent continuous volatility from option prices;Computational and Applied Mathematics;2024-07
2. Reconstruction of Time-Dependent Implied Volatility by Market Observations for European Options in Jump–Diffusion Models;Advanced Computing in Industrial Mathematics;2023
3. Recovering the Time-Dependent Volatility in Jump-Diffusion Models from Nonlocal Price Observations;Large-Scale Scientific Computing;2022
4. Computation of the unknown volatility from integral option price observations in jump–diffusion models;Mathematics and Computers in Simulation;2021-10
5. Fast reconstruction of time-dependent market volatility for European options;Computational and Applied Mathematics;2021-01-27
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