Some analysis of Tikhonov regularization for the inverse problem of option pricing in the price-dependent case

DOI10.4171/ZAA/1258MaRDI QIDQ2492071zbMATH OpenOpenAlexFDO

Authors Torsten Hein

Publication date 6 June 2006

Published in Zeitschrift für Analysis und ihre Anwendungen (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4171/zaa/1258

zbMATH Keywords

convergence ratesfundamental solutionill-posed probleminverse option pricingTikhonov regularizationvolatility identification

Mathematics Subject Classification ID

Inverse problems for PDEs (35R30) Numerical solutions of ill-posed problems in abstract spaces; regularization (65J20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• An implementation of Bouchouev's method for a short time calibration of option pricing models
• Calibrating volatility surfaces via relative-entropy minimization
• Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
• Convergence rates for Tikhonov regularisation of non-linear ill-posed problems
• Factors influencing the ill-posedness of nonlinear problems
• scientific article; zbMATH DE number 1051049 (Why is no real title available?)
• scientific article; zbMATH DE number 3233089 (Why is no real title available?)
• scientific article; zbMATH DE number 3277871 (Why is no real title available?)
• Identifying the volatility of underlying assets from option prices
• On the nature of ill-posedness of an inverse problem arising in option pricing
• Real Interpolation of Sobolev Spaces on Subdomains of Rn
• The inverse problem of option pricing
• The pricing of options and corporate liabilities
• Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets

Cited in

(12)

• Modeling and implementation of local volatility surfaces in Bayesian framework
• Simultaneous identification of volatility and interest rate functions -- a two-parameter regularization approach
• Recovery of the local volatility function using regularization and a gradient projection method
• scientific article; zbMATH DE number 5908063 (Why is no real title available?)
• Regularization for the inverse problem of finding the purely time-dependent volatility
• Ill-posedness versus ill-conditioning–an example from inverse option pricing
• On the nature of ill-posedness of an inverse problem arising in option pricing
• On Maximum Entropy Regularization for a Specific Inverse Problem of Option Pricing
• Calibration of the purely t-dependent Black-Scholes implied volatility
• Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
• Bayesian uncertainty quantification of local volatility model
• Inverse problems to estimate market price of risk in catastrophe bonds

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