On the calibration of local jump-diffusion asset price models

DOI10.1007/s00780-011-0159-7zbMath1303.91180MaRDI QIDQ484208

Philipp A. Mayer, Stefan Kindermann

Publication date: 18 December 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-011-0159-7

zbMATH Keywords

inverse problem; Tikhonov regularization; ill-posed problem; jump-diffusion processes; local Lévy model; robust calibration

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91G60: Numerical methods (including Monte Carlo methods)

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G20: Derivative securities (option pricing, hedging, etc.)

65J22: Numerical solution to inverse problems in abstract spaces

35R09: Integro-partial differential equations

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