On local regularization for an inverse problem of option pricing
From MaRDI portal
Publication:548392
DOI10.1016/j.aml.2011.03.007zbMath1231.91440MaRDI QIDQ548392
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
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
65M32: Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs
Cites Work
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- Full convergence of sequential local regularization methods for Volterra inverse problems
- 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