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Zhurnal Vychislitel'noi Matematiki i Matematicheskoi Fiziki, 2013, Volume 53, Number 1, Page 73
DOI: https://doi.org/10.7868/S0044466913010109
(Mi zvmmf9795)
 

This article is cited in 7 scientific papers (total in 7 papers)

An inverse finance problem for estimation of the volatility

A. Neisy, K. Salmani

Department of Mathematics, Computer and Statistics, Faculty of Economics, Allameh Tabataba'i University, Iran
Full-text PDF (96 kB) Citations (7)
Abstract: Black-Scholes model, as a base model for pricing in derivatives markets has some deficiencies, such as ignoring market jumps, and considering market volatility as a constant factor. In this article, we introduce a pricing model for European-Options under jump-diffusion underlying asset. Then, using some appropriate numerical methods we try to solve this model with integral term, and terms including derivative. Finally, considering volatility as an unknown parameter, we try to estimate it by using our proposed model. For the purpose of estimating volatility, in this article, we utilize inverse problem, in which inverse problem model is first defined, and then volatility is estimated using minimization function with Tikhonov regularization.
Key words: calibration, jump-diffusion model, inverse problem, numerical methods, boundary value problem, Tikhonov regularization, $\theta$ method.
Received: 09.11.2011
English version:
Computational Mathematics and Mathematical Physics, 2013, Volume 53, Issue 1, Pages 63–77
DOI: https://doi.org/10.1134/S0965542513010090
Bibliographic databases:
Document Type: Article
UDC: 519.627.2
Language: English
Citation: A. Neisy, K. Salmani, “An inverse finance problem for estimation of the volatility”, Zh. Vychisl. Mat. Mat. Fiz., 53:1 (2013), 73; Comput. Math. Math. Phys., 53:1 (2013), 63–77
Citation in format AMSBIB
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  • This publication is cited in the following 7 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Журнал вычислительной математики и математической физики Computational Mathematics and Mathematical Physics
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    Abstract page:246
    Full-text PDF :112
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