Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization (Q2879013)
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scientific article; zbMATH DE number 6340754
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| English | Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization |
scientific article; zbMATH DE number 6340754 |
Statements
Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization (English)
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5 September 2014
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local volatility surface
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second-order Tikhonov regularization
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SVD
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large scale nonlinear inverse problem
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0.8650329113006592
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0.8352189064025879
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0.8294031620025635
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0.8265644311904907
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0.8257833123207092
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