Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization (Q2879013)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization |
scientific article; zbMATH DE number 6340754
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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)
0 references
5 September 2014
0 references
local volatility surface
0 references
second-order Tikhonov regularization
0 references
SVD
0 references
large scale nonlinear inverse problem
0 references
0 references
0 references
0 references
0 references
0.8650329113006592
0 references
0.8352189064025879
0 references
0.8294031620025635
0 references
0.8265644311904907
0 references
0.8257833123207092
0 references
