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dc.contributor.authorDeng, Zui-Cha
dc.contributor.authorHon, Y. C.
dc.contributor.authorIsakov, Victor, 1947-
dc.date.accessioned2016-11-17T23:09:43Z
dc.date.available2016-11-17T23:09:43Z
dc.date.issued2016-09-29
dc.identifier.citationDeng, Zui-Cha; Hon, Y. C.; Isakov, Victor, 1947-. 2016. Recovery of time-dependent volatility in option pricing model. Inverse Problems, vol. 32:no. 11en_US
dc.identifier.issn0266-5611
dc.identifier.otherWOS:000385673400001
dc.identifier.urihttp://dx/doi/org/10.1088/0266-5611/32/11/115010
dc.identifier.urihttp://iopscience.iop.org/article/10.1088/0266-5611/32/11/115010/meta
dc.identifier.urihttp://hdl.handle.net/10057/12682
dc.descriptionClick on the DOI link to access the article (may not be free).en_US
dc.description.abstractIn 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 solution to the problem is generally not available. Numerical approximation is also difficult to obtain using most of the existing numerical algorithms. Based on our recent theoretical results, we apply the linearisation technique to convert the problem into an inverse source problem from which recovery of the unknown volatility function can be achieved. Two kinds of strategies, namely, the integral equation method and the Landweber iterations, are adopted to obtain the stable numerical solution to the inverse problem. Both theoretical analysis and numerical examples confirm that the proposed approaches are effective.en_US
dc.description.sponsorshipResearch Grant Council of the Hong Kong Special Administrative Region (Project No. CityU 101112) and grants from the NNSF of China (Nos. 11261029, 11461039), and NSF grants DMS 10-08902 and 15-14886 by Emylou Keith and Betty Dutcher Distinguished Professorship at the Wichita State University (USA).en_US
dc.language.isoen_USen_US
dc.publisherIOP Publishing Ltden_US
dc.relation.ispartofseriesInverse Problems;v.32:no.11
dc.subjectInverse parabolic problemen_US
dc.subjectInverse option pricingen_US
dc.subjectNumerical integral equationsen_US
dc.titleRecovery of time-dependent volatility in option pricing modelen_US
dc.typeArticleen_US
dc.rights.holder© 2016 IOP Publishing Ltden_US


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