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A Technique for Calibrating Derivative Security Pricing Models: Numerical Solution of an Inverse Problem

Author

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  • Ronald Lagnado

    (C-ATS Software, Inc.)

  • Stanley Osher

    (University of California, at Los Angeles)

Abstract

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  • Ronald Lagnado & Stanley Osher, "undated". "A Technique for Calibrating Derivative Security Pricing Models: Numerical Solution of an Inverse Problem," Computing in Economics and Finance 1997 101, Society for Computational Economics.
    • Handle: RePEc:sce:scecf7:101
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    Cited by:

    1. Yu-Hua Zeng & Shou-Lei Wang & Yu-Fei Yang, 2014. "Calibration of the Volatility in Option Pricing Using the Total Variation Regularization," Journal of Applied Mathematics, Hindawi, vol. 2014, pages 1-9, March.
    2. Martin Tegn'er & Stephen Roberts, 2019. "A Probabilistic Approach to Nonparametric Local Volatility," Papers 1901.06021, arXiv.org, revised Jan 2019.
    3. A. Monteiro & R. Tütüncü & L. Vicente, 2011. "Estimation of risk-neutral density surfaces," Computational Management Science, Springer, vol. 8(4), pages 387-414, November.
    4. Mathias Barkhagen & Jörgen Blomvall & Eckhard Platen, 2016. "Recovering the real-world density and liquidity premia from option data," Quantitative Finance, Taylor & Francis Journals, vol. 16(7), pages 1147-1164, July.
    5. Stephane Crepey, 2004. "Delta-hedging vega risk?," Quantitative Finance, Taylor & Francis Journals, vol. 4(5), pages 559-579.
    6. Shou-Lei Wang & Yu-Fei Yang & Yu-Hua Zeng, 2014. "The Adjoint Method for the Inverse Problem of Option Pricing," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-7, March.
    7. S. Kindermann & P. Mayer, 2011. "On the calibration of local jump-diffusion asset price models," Finance and Stochastics, Springer, vol. 15(4), pages 685-724, December.
    8. Yao Elikem Ayekple & Charles Kofi Tetteh & Prince Kwaku Fefemwole, 2018. "Markov Chain Monte Carlo Method for Estimating Implied Volatility in Option Pricing," Journal of Mathematics Research, Canadian Center of Science and Education, vol. 10(6), pages 108-116, December.
    9. Gabriel TURINICI, 2008. "Local Volatility Calibration Using An Adjoint Proxy," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 2, pages 93-105, November.
    10. B. Düring & A. Jüngel & S. Volkwein, 2008. "Sequential Quadratic Programming Method for Volatility Estimation in Option Pricing," Journal of Optimization Theory and Applications, Springer, vol. 139(3), pages 515-540, December.
    11. Ines Kahloul & Anouar Ben Mabrouk & Slah-Eddine Hallara, 2010. "Wavelet-Based Prediction for Governance, Diversification and Value Creation Variables," Papers 1011.5020, arXiv.org.
    12. Jens Carsten Jackwerth., 1996. "Generalized Binomial Trees," Research Program in Finance Working Papers RPF-264, University of California at Berkeley.
    13. Pierre M. Blacque-Florentin & Badr Missaoui, 2015. "Nonparametric and arbitrage-free construction of call surfaces using l1-recovery," Papers 1506.06997, arXiv.org, revised Aug 2016.
    14. Carl Chiarella & Mark Craddock & Nadima El-Hassan, 2003. "An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models," Computational Economics, Springer;Society for Computational Economics, vol. 22(2), pages 113-138, October.
    15. Grace Kuan, 2000. "Recovering Local Volatility Functions Of Forward Libor Rates," Computing in Economics and Finance 2000 255, Society for Computational Economics.
    16. Jens Carsten Jackwerth., 1996. "Implied Binomial Trees: Generalizations and Empirical Tests," Research Program in Finance Working Papers RPF-262, University of California at Berkeley.
    17. Bernd Engelmann & Matthias Fengler & Morten Nalholm & Peter Schwendner, 2006. "Static versus dynamic hedges: an empirical comparison for barrier options," Review of Derivatives Research, Springer, vol. 9(3), pages 239-264, November.
    18. Konstantinos Skindilias & Chia Lo, 2015. "Local volatility calibration during turbulent periods," Review of Quantitative Finance and Accounting, Springer, vol. 44(3), pages 425-444, April.
    19. Carl Chiarella & Mark Craddock & Nadima El-Hassan, 2000. "The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology," Research Paper Series 39, Quantitative Finance Research Centre, University of Technology, Sydney.
    20. Dai, Min & Tang, Ling & Yue, Xingye, 2016. "Calibration of stochastic volatility models: A Tikhonov regularization approach," Journal of Economic Dynamics and Control, Elsevier, vol. 64(C), pages 66-81.
    21. Abdulwahab Animoku & Ömür Uğur & Yeliz Yolcu-Okur, 2018. "Modeling and implementation of local volatility surfaces in Bayesian framework," Computational Management Science, Springer, vol. 15(2), pages 239-258, June.

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