On local regularization for an inverse problem of option pricing
DOI10.1016/J.AML.2011.03.007zbMATH Open1231.91440OpenAlexW2070488385MaRDI QIDQ548392FDOQ548392
Cynthia Lester, Ruya Huang, Xiaoyue Luo
Publication date: 28 June 2011
Published in: Applied Mathematics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.aml.2011.03.007
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Cites Work
- The pricing of options and corporate liabilities
- Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
- Identifying the volatility of underlying assets from option prices
- An inverse problem of determining the implied volatility in option pricing
- Title not available (Why is that?)
- On the nature of ill-posedness of an inverse problem arising in option pricing
- On Maximum Entropy Regularization for a Specific Inverse Problem of Option Pricing
- On decoupling of volatility smile and term structure in inverse option pricing
- Full convergence of sequential local regularization methods for Volterra inverse problems
Cited In (4)
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