On March 18 (Tuesday) at 2:00 p.m. in Room 503 of IMI,
a meeting of the Seminar of the ORPS Department will be held. A talk on:

Numerical inverse modelling of volatility identification from option quotes

will be delivered by Slavi Georgiev, IMI-BAS.

Abstract. The volatility is one of the most important parameters as well as it not directly observable on the market. In this talk we present some approaches to identify the time-dependent volatility, when some information about the option premium is known. We employ an average linearization in time of the diffusion terms of the initial-boundary problems. Then, we decompose the approximate solution with respect to the volatility in order to proceed to the new time layer in the discrete problem. These approaches are tested with real and simulated data for European and other type of options.