On Maximum Entropy Regularization for a Specific Inverse Problem of Option Pricing

DOI10.1163/1569394053583739MaRDI QIDQ4663926zbMATH OpenOpenAlexFDO

Authors

Publication date 4 April 2005

Full work available at URL https://semanticscholar.org/paper/50b7fe47e1a4a546356444dda703cba6f6860138

Mathematics Subject Classification ID

Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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(17)

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• Data driven recovery of local volatility surfaces
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• Simultaneous identification of volatility and interest rate functions -- a two-parameter regularization approach
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• scientific article; zbMATH DE number 5908063 (Why is no real title available?)
• Regularization for the inverse problem of finding the purely time-dependent volatility
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• Convex regularization of local volatility models from option prices: convergence analysis and rates
• A Family of Maximum Entropy Densities Matching Call Option Prices
• Entropy binomial tree method and calibration for the volatility smile
• Regularization of linear ill-posed problems involving multiplication operators
• On local regularization for an inverse problem of option pricing
• On some inverse problems for the Black-Scholes equation
• A connection between uniqueness of minimizers in Tikhonov-type regularization and Morozov-like discrepancy principles
• Traveling wave solutions of an equation of Harry Dym type arising in the Black-Scholes framework

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