Identifying the implied volatility using the total variation regularization

DOI10.1186/S13661-018-0926-XOpenAlexW2783136881MaRDI QIDQ1633709

Xijuan Liu, Yun Liu

Publication date: 20 December 2018

Published in: Boundary Value Problems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13661-018-0926-x

zbMATH Keywords

optimal controlexistenceuniquenessstability and convergencetotal variation regularizationnecessary conditioninverse volatility problem

Mathematics Subject Classification ID

Ordinary differential equations (34-XX) Partial differential equations (35-XX)

Related Items (2)

On some inverse problems for the Black-Scholes equation ⋮ Total variation regularization analysis for inverse volatility option pricing problem

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