Convex regularization of local volatility models from option prices: convergence analysis and rates
DOI10.1016/J.NA.2011.10.037zbMATH Open1263.47086OpenAlexW2015230180MaRDI QIDQ412709FDOQ412709
Authors: Otmar Scherzer, A. De Cezaro, J. P. Zubelli 
Publication date: 4 May 2012
Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.na.2011.10.037
Recommendations
- Convex regularization of local volatility estimation
- Online local volatility calibration by convex regularization
- Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
- Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
- Recovery of the local volatility function using regularization and a gradient projection method
convergence ratesconvex risk measuresconvex regularizationlocal volatility surface identificationsource condition interpretation
Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80) Linear operators and ill-posed problems, regularization (47A52)
Cites Work
- The pricing of options and corporate liabilities
- Applications of Malliavin calculus to Monte Carlo methods in finance
- Coherent measures of risk
- Clustering with Bregman divergences.
- Title not available (Why is that?)
- Joint additive Kullback–Leibler residual minimization and regularization for linear inverse problems
- Optimization and nonsmooth analysis
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
- Convergence rates of convex variational regularization
- Title not available (Why is that?)
- Title not available (Why is that?)
- Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
- Title not available (Why is that?)
- Regularization of ill-posed problems in Banach spaces: convergence rates
- Inverse problems for partial differential equations
- Variational methods in imaging
- Convex measures of risk and trading constraints
- Approximate source conditions for nonlinear ill-posed problems—chances and limitations
- Title not available (Why is that?)
- A convergence rates result for Tikhonov regularization in Banach spaces with non-smooth operators
- Error estimates for non-quadratic regularization and the relation to enhancement
- Sufficiency and Exponential Families for Discrete Sample Spaces
- Risk capital allocation by coherent risk measures based on one-sided moments.
- Sparse regularization with l q penalty term
- Title not available (Why is that?)
- The inverse problem of option pricing
- On the nature of ill-posedness of an inverse problem arising in option pricing
- On Maximum Entropy Regularization for a Specific Inverse Problem of Option Pricing
- On decoupling of volatility smile and term structure in inverse option pricing
- Risk and asset allocation.
- Convergence of Best Entropy Estimates
- Unifying Divergence Minimization and Statistical Inference Via Convex Duality
- Weighted Monte Carlo: A new technique for calibrating asset-pricing models
- Calibrating volatility surfaces via relative-entropy minimization
- Calibration of the local volatility in a trinomial tree using Tikhonov regularization
Cited In (15)
- Simultaneous identification of volatility and interest rate functions -- a two-parameter regularization approach
- Data driven recovery of local volatility surfaces
- On the choice of the Tikhonov regularization parameter and the discretization level: a discrepancy-based strategy
- Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
- Modeling and implementation of local volatility surfaces in Bayesian framework
- Mathematical Modeling and Georeferenced Forecasting for the COVID-19 at the State of RS, Brazil
- CONVEX REGULARIZATION OF LOCAL VOLATILITY ESTIMATION
- How should a local regime-switching model be calibrated?
- The calibration of stochastic local-volatility models: an inverse problem perspective
- Regularization for the inverse problem of finding the purely time-dependent volatility
- On decoupling of volatility smile and term structure in inverse option pricing
- Minimal Kullback–Leibler Divergence for Constrained Lévy–Itô Processes
- Stable reconstruction of the volatility in a regime-switching local-volatility model
- Convergence rates results for recovering the volatility term structure including at-the-money options
- A connection between uniqueness of minimizers in Tikhonov-type regularization and Morozov-like discrepancy principles
This page was built for publication: Convex regularization of local volatility models from option prices: convergence analysis and rates
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q412709)
