CONVEX REGULARIZATION OF LOCAL VOLATILITY ESTIMATION

DOI10.1142/S0219024917500066zbMath1396.91711arXiv1308.2659MaRDI QIDQ2970321

Adriano De Cezaro, Jorge P. Zubelli, Vinicius V. L. Albani

Publication date: 30 March 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1308.2659

zbMATH Keywords

regularization convergence ratesconvex regularizationlocal volatility surfacesnumerical methods for volatility calibration

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Stable reconstruction of the volatility in a regime-switching local-volatility model ⋮ The calibration of stochastic local-volatility models: an inverse problem perspective ⋮ A connection between uniqueness of minimizers in Tikhonov-type regularization and Morozov-like discrepancy principles ⋮ Simultaneous identification of volatility and interest rate functions -- a two-parameter regularization approach ⋮ A splitting strategy for the calibration of jump-diffusion models

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