Identifying the volatility of underlying assets from option prices

Inverse Problems

Volumn 17, Issue 1, 2001, Pages 137-155

  Lishang, Jiang ^a   Youshan, Tao ^b  

^a TONGJI UNIVERSITY   (China)

^b DONGHUA UNIVERSITY   (China)

Author keywords

[No Author keywords available]

Indexed keywords

APPROXIMATION THEORY; CONTRACTS; CONVERGENCE OF NUMERICAL METHODS; OPTIMAL CONTROL SYSTEMS; PARTIAL DIFFERENTIAL EQUATIONS; RANDOM PROCESSES;

OPTION PRICES; VOLATILITY;

INVERSE PROBLEMS;

EID: 0342419448     PISSN: 02665611     EISSN: None     Source Type: Journal    
DOI: 10.1088/0266-5611/17/1/311     Document Type: Article

References (14)

1. Bouchouev I and Isakov V 1997 The inverse problem of option pricing Inverse Problems 13 11-7
2. Bouchouev I and Isakov V 1999 Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets Inverse Problems 15 1-22
3. Derman E, Kani I and Chriss N 1996 Implied trinomal trees of the volatility smile J. Derivatives Summer 7-22
4. Dupire B 1994 Pricing with a smile Risk 7 18-20
5. Hoffmann K-H, Jiang L and Niezzodka M 1993 Optimal control of phase change processes with terminal state observation J. Partial Diff. Eq. 6 97-107
6. Hoffman K-H and Jiang L 1992 Optimal control of a phase field model for solidification Numer. Funct. Anal. Optim. 13 11-27
7. Hull J C 1993 Options Futures and Other Derivative Securities 2nd edn (Englewood Cliffs, NJ: Prentice-Hall)
8. Keung Y L and Zou J 1998 Numerical identifications of parameters in parabolic systems Inverse Problems 14 83-100
9. Ladyzenskaya O, Solonnikov V and Ural'ceva N 1968 Linear and Quasilinear Equations of Parabolic Type (Providence, RI: American Mathematical Society)
10. Lagnado R and Osher S 1996 A technique for calibrating derivative security pricing model: numerical solution of the inverse problem J. Comput. Finance 1 13-25
11. Lattes R and Lions J-L 1967 Méthode de Quasi Reversibilité et Applications (Paris: Dunod)
12. Rubinstein M 1994 Implied binomial trees J. Finance 49 771-818
13. Wilmott P, Dewynne J and Howison S 1993 Option Pricing: Mathematical Models and Computation (Oxford: Oxford Financial Press)
14. Wilmott P 1998 Derivatives - The Theory and Practice of Financial Engineering (New York: Wiley)