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Article: A new well-posed algorithm to recover implied local volatility

TitleA new well-posed algorithm to recover implied local volatility
Authors
Issue Date2003
PublisherRoutledge. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/14697688.asp
Citation
Quantitative Finance, 2003, v. 3 n. 6, p. 451-457 How to Cite?
AbstractThis paper presents a new algorithm to calibrate the option pricing model, i.e. the algorithm that recovers the implied local volatility function from market option prices in the optimal control framework. A unique optimal control is shown to exist. Our algorithm is well-posed. Our numerical experiments show that, with the help of the techniques developed in the field of optimal control, the local volatility function is recovered very well.
Persistent Identifierhttp://hdl.handle.net/10722/177717
ISSN
2015 Impact Factor: 0.794
2015 SCImago Journal Rankings: 0.565
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorJiang, Len_US
dc.contributor.authorChen, Qen_US
dc.contributor.authorWang, Len_US
dc.contributor.authorZhang, JEen_US
dc.date.accessioned2012-12-19T09:39:40Z-
dc.date.available2012-12-19T09:39:40Z-
dc.date.issued2003en_US
dc.identifier.citationQuantitative Finance, 2003, v. 3 n. 6, p. 451-457en_US
dc.identifier.issn1469-7688en_US
dc.identifier.urihttp://hdl.handle.net/10722/177717-
dc.description.abstractThis paper presents a new algorithm to calibrate the option pricing model, i.e. the algorithm that recovers the implied local volatility function from market option prices in the optimal control framework. A unique optimal control is shown to exist. Our algorithm is well-posed. Our numerical experiments show that, with the help of the techniques developed in the field of optimal control, the local volatility function is recovered very well.en_US
dc.languageengen_US
dc.publisherRoutledge. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/14697688.aspen_US
dc.relation.ispartofQuantitative Financeen_US
dc.titleA new well-posed algorithm to recover implied local volatilityen_US
dc.typeArticleen_US
dc.identifier.emailZhang, JE: jinzhang@hku.hken_US
dc.identifier.authorityZhang, JE=rp01125en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1088/1469-7688/3/6/304en_US
dc.identifier.scopuseid_2-s2.0-0346961606en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0346961606&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume3en_US
dc.identifier.issue6en_US
dc.identifier.spage451en_US
dc.identifier.epage457en_US
dc.identifier.isiWOS:000188463800007-
dc.publisher.placeUnited Kingdomen_US
dc.identifier.scopusauthoridJiang, L=9240897400en_US
dc.identifier.scopusauthoridChen, Q=8376422200en_US
dc.identifier.scopusauthoridWang, L=7409179506en_US
dc.identifier.scopusauthoridZhang, JE=7601346659en_US

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