Ill-posedness versus ill-conditioning–an example from inverse option pricing
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Publication:3497834
DOI10.1080/00036810802032136zbMath1152.91527MaRDI QIDQ3497834
Publication date: 28 May 2008
Published in: Applicable Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00036810802032136
47H30: Particular nonlinear operators (superposition, Hammerstein, Nemytski?, Uryson, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
65J20: Numerical solutions of ill-posed problems in abstract spaces; regularization
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Cites Work
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- Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
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- Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
- On the nature of ill-posedness of an inverse problem arising in option pricing
- Calibrating volatility surfaces via relative-entropy minimization
- COMPUTATION OF LOCAL VOLATILITIES FROM REGULARIZED DUPIRE EQUATIONS
- A convergence rates result for Tikhonov regularization in Banach spaces with non-smooth operators
- Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
- On decoupling of volatility smile and term structure in inverse option pricing
