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Applied Mathematical Finance Volume 4, 1997 - Issue 1
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Original Articles

Calibrating volatility surfaces via relative-entropy minimization

Marco Avellaneda
,
Craig Friedman
,
Richard Holmes
&
Dominick Samperi
Pages 37-64 | Published online: 14 Oct 2010

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Sergey Badikov, Antoine Jacquier, Daphne Qing Liu & Patrick Roome. (2017) No-arbitrage bounds for the forward smile given marginals. Quantitative Finance 17:8, pages 1243-1256.
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Jacinto Marabel Romo. (2014) Dynamics of the implied volatility surface. Theory and empirical evidence. Quantitative Finance 14:10, pages 1829-1837.
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Paul Glasserman & Xingbo Xu. (2014) Robust risk measurement and model risk. Quantitative Finance 14:1, pages 29-58.
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Jian Geng, I. Michael Navon & Xiao Chen. (2014) Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization. Quantitative Finance 14:1, pages 73-85.
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Cassio Neri & Lorenz Schneider. (2013) A Family of Maximum Entropy Densities Matching Call Option Prices. Applied Mathematical Finance 20:6, pages 548-577.
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Yijun Du, Chen Wang & Yibing Du. (2012) Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market. Quantitative Finance 12:12, pages 1877-1891.
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Florian Ielpo & Guillaume Simon. (2010) Mean-reversion properties of implied volatilities. The European Journal of Finance 16:6, pages 587-610.
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Matthias R. Fengler. (2009) Arbitrage-free smoothing of the implied volatility surface. Quantitative Finance 9:4, pages 417-428.
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B. Hofmann, R. Krämer & M. Richter. (2009) Some aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility. International Journal of Computer Mathematics 86:6, pages 992-1008.
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Romy Krämer & Matthias Richter. (2008) Ill-posedness versus ill-conditioning–an example from inverse option pricing. Applicable Analysis 87:4, pages 465-477.
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L Bonney, G Shannon & N Uys. (2008) Modelling the Top40 volatility skew: A principal component analysis approach. Investment Analysts Journal 37:68, pages 31-38.
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Yves Achdou & Olivier Pironneau. (2005) Numerical Procedure for Calibration of Volatility with American Options. Applied Mathematical Finance 12:3, pages 201-241.
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Benoit Pochart & Jean-Philippe Bouchaud . (2004) Option pricing and hedging with minimum local expected shortfall. Quantitative Finance 4:5, pages 607-618.
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Stéphane Crépey. (2004) Delta-hedging vega risk?. Quantitative Finance 4:5, pages 559-579.
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Dorje C Brody , Ian R C Buckley & Bernhard K Meister. (2004) Preposterior analysis for option pricing. Quantitative Finance 4:4, pages 465-477.
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Lishang Jiang, Qihong Chen, Lijun Wang & Jin E Zhang. (2003) A new well-posed algorithm to recover implied local volatility. Quantitative Finance 3:6, pages 451-457.
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Ilia Bouchouev, Victor Isakov & Nicolas Valdivia. (2002) Recovery of volatility coefficient by linearization. Quantitative Finance 2:4, pages 257-263.
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H Berestycki, J Busca & I Florent. (2002) Asymptotics and calibration of local volatility models. Quantitative Finance 2:1, pages 61-69.
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Henryk Gzyl. (2000) Maxentropic construction of risk neutral measures: discrete market models. Applied Mathematical Finance 7:4, pages 229-239.
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