Reconstructing local volatility using total variation
DOI10.1007/S10114-017-5178-7zbMATH Open1401.91470OpenAlexW2569089001MaRDI QIDQ523719FDOQ523719
Authors: Rui Yan Zhang, Fang Fang Xu, Jian Chao Huang 
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
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Cites Work
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- Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
- An Iterative Regularization Method for Total Variation-Based Image Restoration
- Recursive Trust-Region Methods for Multiscale Nonlinear Optimization
- Multigrid Method for Maxwell's Equations
- A Line Search Multigrid Method for Large-Scale Nonlinear Optimization
- Reconstructing the unknown local volatility function
- The Immersed Interface/Multigrid Methods for Interface Problems
- Numerical experience with a recursive trust-region method for multilevel nonlinear bound-constrained optimization
- Estimation of local volatilities in a generalized Black-Scholes model
- Calibration of the local volatility in a trinomial tree using Tikhonov regularization
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Cited In (18)
- Modeling and implementation of local volatility surfaces in Bayesian framework
- Image restoration by second-order total generalized variation and wavelet frame regularization
- A penalty-based method from reconstructing smooth local volatility surface from American options
- Reconstruction of local volatility for the binary option model
- Fast algorithms for sparse inverse covariance estimation
- Algorithm for determining the volatility function in the Black-Scholes model
- Sequential quadratic programming method for volatility estimation in option pricing
- Recovery of volatility coefficient by linearization
- Verifiable quantum secret sharing protocols based on four-qubit entangled states
- A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE
- On some inverse problems for the Black-Scholes equation
- Recovery of the local volatility function using regularization and a gradient projection method
- Reconstruction of local volatility surface from American options
- VOLATILITY SMILE BY MULTILEVEL LEAST SQUARE
- New quantum key agreement protocols based on cluster states
- Two-party quantum key agreement over a collective noisy channel
- Hybrid variational model based on alternating direction method for image restoration
- Image restoration by a mixed high-order total variation and \(l_1\) regularization model
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