The total variation regularization method for determining implied volatility

MaRDI QIDQ4901931zbMATHFDO

Authors Shou-Lei Wang, Yufei Yang

Publication date 24 January 2013

zbMATH Keywords

Tikhonov regularizationtotal variation regularizationimplied volatilityBlack-Scholes equationEuropean call options

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

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• An adaptive successive over-relaxation method for computing the Black–Scholes implied volatility
• Calibration of the volatility in option pricing using the total variation regularization
• Recover implied volatility in short-term interest rate model

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