scientific article; zbMATH DE number 6999659

MaRDI QIDQ4645358zbMATH OpenFDO

Authors Abdelilah Jraifi, Aziz Darouichi, Ibtissam Medarhri, Ilias Elmouki, Rajae Aboulaich

Publication date 10 January 2019

zbMATH Keywords

inverse problemTikhonov regularizationcalibrationoptimization methodDupire-like equationSVJ model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32) Optimal stochastic control (93E20)

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Cited in

(4)

• Calibration of the local volatility in a trinomial tree using Tikhonov regularization
• Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability
• Calibration of stochastic volatility models: a Tikhonov regularization approach
• On the calibration of local jump-diffusion asset price models

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