Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
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Publication:5462082
DOI10.1088/0266-5611/21/3/014zbMath1205.65194OpenAlexW2157707465MaRDI QIDQ5462082
Publication date: 1 August 2005
Published in: Inverse Problems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/0266-5611/21/3/014
stabilityTikhonov regularizationconvergence of approximationsBlack-Scholes/Dupire equationmarket prices of European vanilla optionsstable identification of local volatility surfaces
Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32) Portfolio theory (91G10) Numerical solution to inverse problems in abstract spaces (65J22)
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