51
Views
2
CrossRef citations to date
0
Altmetric
Original Articles

An inverse European option problem in estimating the time-dependent volatility function with statistical analysis

&
Pages 103-111 | Received 23 Oct 2003, Accepted 25 Nov 2004, Published online: 23 Feb 2007

References

References

  • Alifanov , OM . 1972 . “Solution of an inverse problem of heat conduction by iteration methods” . J. Eng. Phys. , 26 : 471 – 476 .
  • Black , F and Scholes , M . 1973 . “The pricing of options and corporate liabilities” . J. Polit. Econ. , 81 : 637 – 659 .
  • Bouchouev , I and Isakov , V . 1997 . “The inverse problem of option prices” . Inverse Prob. , 13 : L11 – L17 .
  • Bouchouev , I and Isakov , V . 1999 . “Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets” . Inverse Prob. , 15 : R95 – R116 .
  • Chen , HM and Huang , CH . 2001 . “A system identification problem of estimating parameters in the profit analysis model for a product” . Int. J. Prod. Econ. , 72 : 15 – 26 .
  • Duffie D Dynamic Asset Pricing Theory Princeton NJ Princeton University Press 1996
  • Farebrother RW Linear Least Squares Computations New York Dekker 1988
  • Huang , CH , Chiang , CC and Chou , SK . 1998 . “An inverse geometry design problem in optimizing the hull surfaces” . J. Ship Res. , 42 : 79 – 85 .
  • Huang , CH and Huang , MC . 1994 . “Inverse problem in determining the normal and tangential drag coefficients of marine cables” . J. Ship Res. , 38 : 296 – 301 .
  • Huang , CH and Ozisik , MN . 1991 . “A direct integration approach for simultaneously estimating temperature dependent thermal conductivity and heat capacity” . Numer. Heat Transfer, Part A , 20 : 95 – 110 .
  • Huang , CH and Wang , DM . 1997 . “A statistical analysis for an inverse acoustic problem in estimating spatially varying sound velocity” . J. Acoust. Soc. Am. , 101 : 1262 – 1268 .
  • Hull J Options, Futures and Other Derivations Upper Saddle River NJ Prentice-Hall 1997
  • International Mathematical and Statistical Libraries, Inc. Edition 10.0, User's Manual: Math Library Version 1.0 Houston TX IMSL 1987
  • Lishang , J and Youshan , T . 2001 . “Identifying the volatility of underlying assets from option prices” . Inverse Prob. , 17 : 137 – 155 .
  • Maniatty , A and Zabaras , N . 1994 . “Investigation of regularization parameters and error estimating in inverse elasticity problems” . Int. J. Numer. Meth. Eng. , 37 : 1039 – 1052 .
  • Marquardt , DM . 1963 . “An algorithm for least-squares estimation of nonlinear parameters” . J. Soc. Indust. Appl. Math. , 11 : 431 – 441 .
  • Wilmott P Dewynne J Howison S Option Pricing: Mathematical Models and Computation Oxford Oxford Financial Press 1993

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.