scientific article; zbMATH DE number 6999659

zbMATH Open1419.91650MaRDI QIDQ4645358FDOQ4645358

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

Publication date: 10 January 2019

Title of this publication is not available (Why is that?)

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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)

Cited In (4)

• 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
• Calibration of the local volatility in a trinomial tree using Tikhonov regularization

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