Recovery of the local volatility function using regularization and a gradient projection method
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Publication:2514665
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
regularizationlinearizationvolatility functionprojective gradient methodsEuropean option pricing problem
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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