Convex regularization of local volatility models from option prices: convergence analysis and rates
DOI10.1016/J.NA.2011.10.037zbMATH Open1263.47086OpenAlexW2015230180MaRDI QIDQ412709FDOQ412709
Otmar Scherzer, J. P. Zubelli, A. De Cezaro
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
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)
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Cited In (14)
- 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
- 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
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