A new well-posed algorithm to recover implied local volatility

By Lishang Jiang, Qihong Chen, Lijun Wang, Jin E. Zhang. 2003

88 citations recorded by the source corpus.

Subfields: Computational Mechanics, Finance

View Paper: https://www.semanticscholar.org/paper/89d5fefd096d7948ff15ef9459e578eeb433bb51

How researchers see this paper

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In Finance

1. Matthias R. Fengler

Citations in the corpus

• The implied volatility smirk (2008, unknown): “Jiang et al. (2003) recover the implied local volatility numerically in an optimal control framework.”
• Arbitrage-free smoothing of the implied volatility surface (2009, background): “Techniques for calibration and pricing are proposed, among others, by Andersen and Brotherton-Ratcliffe (1997), Avellaneda et al. (1997), Dempster and Richards (2000), Jiang and Tao (2001) and Jiang et al. (2003).”