Calibrating local volatility in inverse option pricing using the Levenberg-Marquardt method
DOI10.1515/JIIP.2010.023zbMATH Open1279.91161OpenAlexW2018523891MaRDI QIDQ2874459FDOQ2874459
Authors: A. Lakhal, Mohamed Majdi Lakhal, A. K. Louis 
Publication date: 30 January 2014
Published in: Journal of Inverse and Ill-Posed Problems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/jiip.2010.023
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Numerical mathematical programming methods (65K05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Numerical computation of solutions to systems of equations (65H10) Inverse problems for PDEs (35R30)
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
- Iteration methods for convexly constrained ill-posed problems in hilbert space
- Inexact Newton Regularization Using Conjugate Gradients as Inner Iteration
- A regularizing Levenberg - Marquardt scheme, with applications to inverse groundwater filtration problems
- Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
- A Second Degree Method for Nonlinear Inverse Problems
- On the nature of ill-posedness of an inverse problem arising in option pricing
- On decoupling of volatility smile and term structure in inverse option pricing
- On the regularization of projection methods for solving ill-posed problems
- Calibration of the local volatility in a trinomial tree using Tikhonov regularization
- Some Newton-type methods for the regularization of nonlinear ill-posed problems
Cited In (6)
- Algorithm for determining the volatility function in the Black-Scholes model
- The calibration of stochastic local-volatility models: an inverse problem perspective
- On some inverse problems for the Black-Scholes equation
- A linearization-based solution to an inverse problem in financial markets
- The tangential cone condition for the iterative calibration of local volatility surfaces
- VOLATILITY SMILE BY MULTILEVEL LEAST SQUARE
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