Convergence rates results for recovering the volatility term structure including at-the-money options

DOI10.1515/JIIP.2009.024zbMath1177.35251MaRDI QIDQ5191062

Torsten Hein

Publication date: 28 July 2009

Published in: Journal of Inverse and Ill-posed Problems (Search for Journal in Brave)

zbMATH Keywords

regularization; Black-Scholes model; parabolic equations; ill-posed problem; inverse problem of option pricing; identification of local volatilities

Mathematics Subject Classification ID

35R30: Inverse problems for PDEs

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

35R60: PDEs with randomness, stochastic partial differential equations

91A24: Positional games (pursuit and evasion, etc.)

Cites Work

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• The inverse problem of option pricing
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• On the nature of ill-posedness of an inverse problem arising in option pricing
• Convergence rates of convex variational regularization
• A convergence rates result for Tikhonov regularization in Banach spaces with non-smooth operators
• Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
• On decoupling of volatility smile and term structure in inverse option pricing