Identifying the implied volatility using the total variation regularization

DOI10.1186/S13661-018-0926-XOpenAlexW2783136881MaRDI QIDQ1633709FDOQ1633709

Authors: Yun Liu, Xijuan 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

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zbMATH Keywords

existenceoptimal controltotal variation regularizationuniquenessstability and convergencenecessary conditioninverse volatility problem

Mathematics Subject Classification ID

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

Cites Work

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Cited In (7)

• An inverse volatility problem of financial products linked with gold price
• Total variation regularization analysis for inverse volatility option pricing problem
• Calibration of the volatility in option pricing using the total variation regularization
• The total variation model for determining the implied volatility in option pricing
• On some inverse problems for the Black-Scholes equation
• Title not available (Why is that?)
• The total variation regularization method for determining implied volatility

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