Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization
DOI10.1080/14697688.2013.819988zbMath1294.91187OpenAlexW1996207923MaRDI QIDQ2879013
Jian Geng, Xiao Chen, I. Michael Navon
Publication date: 5 September 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2013.819988
SVDlocal volatility surfacelarge scale nonlinear inverse problemsecond-order Tikhonov regularization
Numerical methods (including Monte Carlo methods) (91G60) Ill-posedness and regularization problems in numerical linear algebra (65F22) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for ill-posed problems for initial value and initial-boundary value problems involving PDEs (65M30)
Related Items (4)
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