Control-theoretic framework for a quasi-Newton local volatility surface inversion - Archive ouverte HAL Accéder directement au contenu
Communication Dans Un Congrès Année : 2009

Control-theoretic framework for a quasi-Newton local volatility surface inversion

Résumé

We investigate in this paper the recovery of the local volatility surface in a parametric framework similar to that of Coleman, Li and Verma [4]. The quality of a surface is assessed through a functional which is optimized; the specificity of the approach is to separate the optimization on the parametric space (performed with any suitable optimization algorithm) from the computation of the functional where we use an adjoint formulation similar to that of the optimal control; the procedure can thus incorporate information from any derivative contract compatible with the adjoint approach. The procedure was implemented and was shown to perform satisfactory on real-world data.
Fichier principal
Vignette du fichier
gabriel_turinici2.pdf (400.83 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-00298960 , version 1 (16-07-2008)

Identifiants

  • HAL Id : hal-00298960 , version 1

Citer

Gabriel Turinici. Control-theoretic framework for a quasi-Newton local volatility surface inversion. ICCMSE, Sep 2008, Crete, Greece. pp.254-257. ⟨hal-00298960⟩
123 Consultations
152 Téléchargements

Partager

Gmail Facebook X LinkedIn More