Hein, Torsten : Numerische Studie zu einem inversen Problem der Optionspreisbildung im zeitabhängigen Fall

Author(s):

Hein, Torsten

Title:

Numerische Studie zu einem inversen Problem der Optionspreisbildung im zeitabhängigen Fall

Preprint series:

Technische Universität Chemnitz, Fakultät für Mathematik (Germany). Preprint 2, 2003

Mathematics Subject Classification:

35R30			[ Inverse problems for PDE ]
91B24			[ Price theory and market structure ]
65J20			[ Improperly posed problems; regularization ]
65C99			[ None of the above, but in this section ]

Abstract:

In this paper we are dealt with numerical studies concerning the identification of purely time-dependent volatilities from given option price data. We consider two different solution approaches which are investigated by a detailed case study, whereby we focus on solution stability. There are considered the influence of various market parameters on the solvability and different modifications of the algorithms. In particulary, the problem of regularization plays an important role.

Keywords:

Black-Scholes formula, inverse problems of option pricing, identification of local volatilities, ill-posed problem, regularization, numerical case study

Language:

German

Publication time:

5 / 2003