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- Publisher Website: 10.1088/1469-7688/3/6/304
- Scopus: eid_2-s2.0-0346961606
- WOS: WOS:000188463800007
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Article: A new well-posed algorithm to recover implied local volatility
Title | A new well-posed algorithm to recover implied local volatility |
---|---|
Authors | |
Issue Date | 2003 |
Publisher | Routledge. 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? |
Abstract | This 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 Identifier | http://hdl.handle.net/10722/177717 |
ISSN | 2023 Impact Factor: 1.5 2023 SCImago Journal Rankings: 0.705 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Jiang, L | en_US |
dc.contributor.author | Chen, Q | en_US |
dc.contributor.author | Wang, L | en_US |
dc.contributor.author | Zhang, JE | en_US |
dc.date.accessioned | 2012-12-19T09:39:40Z | - |
dc.date.available | 2012-12-19T09:39:40Z | - |
dc.date.issued | 2003 | en_US |
dc.identifier.citation | Quantitative Finance, 2003, v. 3 n. 6, p. 451-457 | en_US |
dc.identifier.issn | 1469-7688 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/177717 | - |
dc.description.abstract | This 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.language | eng | en_US |
dc.publisher | Routledge. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/14697688.asp | en_US |
dc.relation.ispartof | Quantitative Finance | en_US |
dc.title | A new well-posed algorithm to recover implied local volatility | en_US |
dc.type | Article | en_US |
dc.identifier.email | Zhang, JE: jinzhang@hku.hk | en_US |
dc.identifier.authority | Zhang, JE=rp01125 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1088/1469-7688/3/6/304 | en_US |
dc.identifier.scopus | eid_2-s2.0-0346961606 | en_US |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-0346961606&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 3 | en_US |
dc.identifier.issue | 6 | en_US |
dc.identifier.spage | 451 | en_US |
dc.identifier.epage | 457 | en_US |
dc.identifier.isi | WOS:000188463800007 | - |
dc.publisher.place | United Kingdom | en_US |
dc.identifier.scopusauthorid | Jiang, L=9240897400 | en_US |
dc.identifier.scopusauthorid | Chen, Q=8376422200 | en_US |
dc.identifier.scopusauthorid | Wang, L=7409179506 | en_US |
dc.identifier.scopusauthorid | Zhang, JE=7601346659 | en_US |
dc.identifier.issnl | 1469-7688 | - |