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On the inverse problem of Dupire's education with nonlocal boundary and integral conditions

Guler, Coskun; Oban, Volkan - In: Journal of mathematical finance 7 (2017) 4, pp. 934-940

Persistent link: https://www.econbiz.de/10011859946

Local volatility models in commodity markets and online calibration

Albani, Vinícius; Ascher, Uri M.; Zubelli, Jorge P. - In: The journal of computational finance 21 (2017/2018) 5, pp. 63-95

Persistent link: https://www.econbiz.de/10011860922

Calibration of stochastic volatility models : a Tikhonov regularization approach

Dai, Min; Tang, Ling; Yue, Xingye - In: Journal of economic dynamics & control 64 (2016), pp. 66-81

Persistent link: https://www.econbiz.de/10011708221

Sparse modeling approach to the arbitrage-free interpolation of plain-vanilla option prices and implied volatilities

Guterding, Daniel - In: Risks : open access journal 11 (2023) 5, pp. 1-24

We present a method for the arbitrage-free interpolation of plain-vanilla option prices and implied volatilities, which is based on a system of integral equations that relates terminal density and option prices. Using a discretization of the terminal density, we write these integral equations as...

Persistent link: https://www.econbiz.de/10014332042