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Computational recovery of time-dependent volatility from integral observations in option pricing
16 references·0 citing·34 second hop
Computational recovery of time-dependent volatility from integral observations in option pricing (2019)Computational recovery of time-dependent …Volatility and Correlation (2012)Volatility and CorrelationASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS (2010)ASYMPTOTICS OF IMPLIED VOLATI…Mathematical Models of Financial Derivatives (2008)Mathematical Models of Financ…Theory of rational option pricing (2005)Theory of rational option pri…Mathematical Modeling and Methods of Option Pricing (2005)Mathematical Modeling and Met…Computational Methods for Option Pricing (2005)Computational Methods for Opt…Analysis of the stability of the linear boundary condition for the Black–Scholes equation (2004)Analysis of the stability of …A Fast Numerical Method for the Black--Scholes Equation of American Options (2003)A Fast Numerical Method for t…Identifying the volatility of underlying assets from option prices (2001)Identifying the volatility of…Pricing Financial Instruments: The Finite Difference Method (2000)Pricing Financial Instruments…Far Field Boundary Conditions for Black--Scholes Equations (2000)Far Field Boundary Conditions…Reconstructing the unknown local volatility function (1999)Reconstructing the unknown lo…The inverse problem of option pricing (1997)The inverse problem of option…Calibrating volatility surfaces via relative-entropy minimization (1997)Calibrating volatility surfac…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: Mathematical models and computation (1994)Methods of Mathematical Finance (1998)A penalty method for American options with jump diffusion processes (2004)Operator splitting methods for American option pricing (2004)Pricing Options in Jump-Diffusion Models: An Extrapolation Approach (2007)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL (2009)The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model (2012)Short-time at-the-money skew and rough fractional volatility (2016)The Entropy Law and the Economic Process (1971)The Entropy Law and the Economic Process. (1973)Option pricing: A simplified approach (1979)Option-Implied Risk-Neutral Distributions and Implied Binomial Trees (1999)Asymptotics and calibration of local volatility models (2002)Robust risk measurement and model risk (2013)An experimental analysis of multi-attribute auctions (2000)PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES (2004)Convergence of Monte Carlo simulations involving the mean-reverting square root process (2005)Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model (2008)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps (2014)Robust numerical methods for contingent claims under jump diffusion processes (2004)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Valuing vulnerable geometric Asian options (2016)European quanto option pricing in presence of liquidity risk (2018)A sixth order numerical method and its convergence for generalized Black–Scholes PDE (2020)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 2008Mathematical Models of Financial Derivatives567 cited
  • 2000Pricing Financial Instruments: The Finite Difference Method478 cited
  • 2005Computational Methods for Option Pricing376 cited
  • 2000Far Field Boundary Conditions for Black--Scholes Equations252 cited
  • 1997Calibrating volatility surfaces via relative-entropy minimization249 cited
  • 2005Mathematical Modeling and Methods of Option Pricing196 cited
  • 2010ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS165 cited
  • 1999Reconstructing the unknown local volatility function133 cited
  • 2003A Fast Numerical Method for the Black--Scholes Equation of American Options124 cited
  • 2004Analysis of the stability of the linear boundary condition for the Black–Scholes equation118 cited
  • 1997The inverse problem of option pricing117 cited
  • 2012Volatility and Correlation117 cited
  • 2001Identifying the volatility of underlying assets from option prices

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