Reconstructing local volatility using total variation

DOI10.1007/s10114-017-5178-7zbMath1401.91470OpenAlexW2569089001MaRDI QIDQ523719

Jian Chao Huang, Rui Yan Zhang, Fang Fang Xu

Publication date: 21 April 2017

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-017-5178-7

zbMATH Keywords

optimizationmultigrid methodfinite differenceDupire's equationVolatility smile

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Discrete approximations in optimal control (49M25) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32)

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