Result: Using radial basis functions to construct local volatility surfaces
Title:
Using radial basis functions to construct local volatility surfaces
Source:
Applied mathematics and computation. 217(9):4834-4839
Publisher Information:
Amsterdam: Elsevier, 2011.
Publication Year:
2011
Physical Description:
print, 10 ref
Original Material:
INIST-CNRS
Subject Terms:
Control theory, operational research, Automatique, recherche opérationnelle, Computer science, Informatique, Mathematics, Mathématiques, Sciences exactes et technologie, Exact sciences and technology, Sciences et techniques communes, Sciences and techniques of general use, Mathematiques, Mathematics, Analyse mathématique, Mathematical analysis, Mesure et intégration, Measure and integration, Approximations et développements, Approximations and expansions, Analyse numérique. Calcul scientifique, Numerical analysis. Scientific computation, Analyse numérique, Numerical analysis, Approximation numérique, Numerical approximation, Méthodes numériques en programmation mathématique, optimisation et calcul variationnel, Numerical methods in mathematical programming, optimization and calculus of variations, Optimisation et calcul variationnel numériques, Numerical methods in optimization and calculus of variations, Analyse numérique, Numerical analysis, Análisis numérico, Approximation numérique, Numerical approximation, Aproximación numérica, Approximation spline, Spline approximation, Aproximación esplín, Calcul variationnel, Variational calculus, Cálculo de variaciones, Fixation prix, Pricing, Fijación precios, Mathématiques appliquées, Applied mathematics, Matemáticas aplicadas, Méthode optimisation, Optimization method, Método optimización, Plaque mince, Thin plate, Placa delgada, Programmation mathématique, Mathematical programming, Programación matemática, Surface, Superficie, 28Bxx, 28Cxx, 41A15, 65D07, 65K10, Local volatility surfaces, Non-linear optimisation, Radial basis function
Document Type:
Academic journal
Article
File Description:
text
Language:
English
Author Affiliations:
Department of Computational and Applied Mathematics, University of the Witwatersrand, Johannesburg, South Africa
ISSN:
0096-3003
Rights:
Copyright 2015 INIST-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
Notes:
Mathematics
Accession Number:
edscal.23836077
Database:
PASCAL Archive
Further Information
This article presents a new method for constructing a volatility surface for use in local volatility option pricing models. It builds on previous work focussing on non-parametric regression approaches using a set of radial basis functions, specifically thin plate splines. Optimal parameters are found using a trust region optimisation approach. While there is still much work to be done, the results are encouraging and show that the method is relatively tractable, stable and accurate.