The total variation regularization method for determining implied volatility

zbMATH Open1265.91166MaRDI QIDQ4901931FDOQ4901931

Authors: Shou-Lei Wang, Yufei Yang 

Publication date: 24 January 2013

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zbMATH Keywords

Tikhonov regularizationtotal variation regularizationimplied volatilityBlack-Scholes equationEuropean call options

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Cited In (6)

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• Recover implied volatility in short-term interest rate model
• Shape-preserving interpolation and smoothing for options market implied volatility
• An adaptive successive over-relaxation method for computing the Black–Scholes implied volatility

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