Browsing Mathematics, Statistics, and Physics by Subject "Inverse option pricing"

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    • Recovery of time dependent volatility coefficient by linearization 

      Isakov, Victor, 1947- (American Institute of Mathematical Sciences, 2014-03)
      We study the problem of reconstruction of special time dependent local volatility from market prices of options with different strikes at two expiration times. For a general diffusion process we apply the linearization ...

    • Recovery of time-dependent volatility in option pricing model 

      Deng, Zui-Cha; Hon, Y. C.; Isakov, Victor, 1947- (IOP Publishing Ltd, 2016-09-29)
      In this paper we investigate an inverse problem of determining the time-dependent volatility from observed market prices of options with different strikes. Due to the non linearity and sparsity of observations, an analytical ...