Calibration of the volatility in option pricing using the total variation regularization
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Publication:1714637
DOI10.1155/2014/510819zbMath1406.91459OpenAlexW1987149930WikidataQ59051791 ScholiaQ59051791MaRDI QIDQ1714637
Yu-Hua Zeng, Yu-Fei Yang, Shou-Lei Wang
Publication date: 1 February 2019
Published in: Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2014/510819
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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Identifying the implied volatility using the total variation regularization ⋮ Robust and accurate construction of the local volatility surface using the Black-Scholes equation ⋮ Fast reconstruction of time-dependent market volatility for European options
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