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Reconstruction of local volatility for the binary option model
- Source :
- Journal of Inverse and Ill-posed Problems. 24:727-741
- Publication Year :
- 2016
- Publisher :
- Walter de Gruyter GmbH, 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.
Details
- ISSN :
- 15693945 and 09280219
- Volume :
- 24
- Database :
- OpenAIRE
- Journal :
- Journal of Inverse and Ill-posed Problems
- Accession number :
- edsair.doi...........5f2c957d16267dc6f1674eeb34270f60