Recovery of the local volatility function using regularization and a gradient projection method

DOI10.3934/jimo.2015.11.421zbMath1305.91241OpenAlexW2320154450MaRDI QIDQ2514665

Liping Wang, Qing-Hua Ma, Zuo-liang Xu

Publication date: 3 February 2015

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2015.11.421

zbMATH Keywords

regularizationlinearizationvolatility functionprojective gradient methodsEuropean option pricing problem

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to equations with nonlinear operators (65J15) Numerical solutions of ill-posed problems in abstract spaces; regularization (65J20)

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