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Calibration of Stochastic Volatility Models: An Optimal Control Approach

https://doi.org/10.2139/ssrn.2009342
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Numerical Approximation of Partial Differential Equations
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Numerical methods for the approximate solution of ill-posed problems on compact sets
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Numerical approximation of partial differential equations
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Deterministic versus stochastic volatility: implications for option pricing models
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The Pricing of Options and Corporate Liabilities
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The inverse problem of option pricing
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Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
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Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
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A new well-posed algorithm to recover implied local volatility
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The Price of a Smile: Hedging and Spanning in Option Markets
inferredcites →https://doi.org/10.1093/rfs/4.4.727openalex-extracted
Stock Price Distributions with Stochastic Volatility: An Analytic Approach
inferredcites →https://doi.org/10.1093/rfs/6.2.327openalex-extracted
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
inferredcites →https://doi.org/10.1111/0022-1082.00083openalex-extracted
Implied Volatility Functions: Empirical Tests
inferredcites →https://doi.org/10.1111/0022-1082.00228openalex-extracted
Option Prices, Implied Price Processes, and Stochastic Volatility
inferredcites →https://doi.org/10.1111/j.1540-6261.1987.tb02568.xopenalex-extracted
The Pricing of Options on Assets with Stochastic Volatilities
inferredcites →https://doi.org/10.1142/s0219024998000059openalex-extracted
Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
inferredcites →https://doi.org/10.21314/jcf.1997.002openalex-extracted
A technique for calibrating derivative security pricing models: numerical solution of an inverse problem
inferredcites →https://doi.org/10.2307/2328253openalex-extracted
The Pricing of Options on Assets with Stochastic Volatilities
inferredcites →https://doi.org/10.3934/dcdsb.2012.17.2017openalex-extracted
The regularized implied local volatility equations -A new model to recover the volatility of underlying asset from observed market option price
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