CONVEX REGULARIZATION OF LOCAL VOLATILITY ESTIMATION
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Publication:2970321
DOI10.1142/S0219024917500066zbMath1396.91711arXiv1308.2659MaRDI QIDQ2970321
Jorge P. Zubelli, Adriano De Cezaro, Vinicius V. L. Albani
Publication date: 30 March 2017
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1308.2659
regularization convergence rates; convex regularization; local volatility surfaces; numerical methods for volatility calibration
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)