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Reconstruction of local volatility for the binary option model.
- Source :
-
Journal of Inverse & Ill-Posed Problems . Dec2016, Vol. 24 Issue 6, p727-741. 15p. - Publication Year :
- 2016
-
Abstract
- The aim of this paper is to reconstruct local volatility from market prices of binary options. In the case of the space-dependent volatility, we obtain the stable linearization and the available integral equation to identify local volatility from observable data of binary options. We achieve the reconstruction of local volatility by numerical simulation. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 09280219
- Volume :
- 24
- Issue :
- 6
- Database :
- Academic Search Index
- Journal :
- Journal of Inverse & Ill-Posed Problems
- Publication Type :
- Academic Journal
- Accession number :
- 119711944
- Full Text :
- https://doi.org/10.1515/jiip-2013-0051