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

zbMATH Keywords

convergence ratesconvex risk measuresconvex regularizationlocal volatility surface identificationsource condition interpretation

Mathematics Subject Classification ID

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

(16)

• 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
• Convex regularization of local volatility estimation
• Mathematical Modeling and Georeferenced Forecasting for the COVID-19 at the State of RS, Brazil
• 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
• Online local volatility calibration by convex regularization
• 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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