A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2020; you can also visit the original URL.
The file type is application/pdf
.
Recovery of local volatility for financial assets with mean-reverting price processes
2018
Mathematical Control and Related Fields
This article is concerned with the model calibration for financial assets with mean-reverting price processes, which is an important topic in mathematical finance. The discussion focuses on the recovery of local volatility from market data for Schwartz(1997) model. It is formulated as an inverse parabolic problem, and the necessary condition for determining the local volatility is derived under the optimal control framework. An iterative algorithm is provided to solve the optimality system and
doi:10.3934/mcrf.2018026
fatcat:7vb5g6u4zbcb3nx5qf7m7oq5ze