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

DOI10.4171/ZAA/1258zbMATH Open1109.35120OpenAlexW2053105494MaRDI QIDQ2492071FDOQ2492071

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

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• Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
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• scientific article; zbMATH DE number 5908063

zbMATH Keywords

Tikhonov regularizationconvergence ratesfundamental solutionill-posed probleminverse option pricingvolatility identification

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
• Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
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• Identifying the volatility of underlying assets from option prices
• Real Interpolation of Sobolev Spaces on Subdomains of Rn
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
• Convergence rates for Tikhonov regularisation of non-linear ill-posed problems
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• The inverse problem of option pricing
• On the nature of ill-posedness of an inverse problem arising in option pricing
• Calibrating volatility surfaces via relative-entropy minimization
• Factors influencing the ill-posedness of nonlinear problems
• An implementation of Bouchouev's method for a short time calibration of option pricing models

Cited In (11)

• Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
• Modeling and implementation of local volatility surfaces in Bayesian framework
• 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
• Regularization for the inverse problem of finding the purely time-dependent volatility
• Title not available (Why is that?)
• Inverse problems to estimate market price of risk in catastrophe bonds
• Recovery of the local volatility function using regularization and a gradient projection method
• Bayesian uncertainty quantification of local volatility model
• Calibration of the purely \(t\)-dependent Black-Scholes implied volatility

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