On local regularization for an inverse problem of option pricing

DOI10.1016/J.AML.2011.03.007MaRDI QIDQ548392zbMATH OpenOpenAlexFDO

Authors Cynthia Lester, Xiaoyue Luo, Ruya Huang

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

zbMATH Keywords

inverse problemoption priceslocal regularization

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32)

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Cites work

• scientific article; zbMATH DE number 1051049 (Why is no real title available?)
• An inverse problem of determining the implied volatility in option pricing
• Full convergence of sequential local regularization methods for Volterra inverse problems
• Identifying the volatility of underlying assets from option prices
• On Maximum Entropy Regularization for a Specific Inverse Problem of Option Pricing
• On decoupling of volatility smile and term structure in inverse option pricing
• On the nature of ill-posedness of an inverse problem arising in option pricing
• The pricing of options and corporate liabilities
• Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates

Cited in

(6)

• Bayesian inference approach to inverse problems in a financial mathematical model
• Regularisation of inverse problems and its application to the calibration of option price models
• Total variation regularization analysis for inverse volatility option pricing problem
• The adjoint method for the inverse problem of option pricing
• scientific article; zbMATH DE number 5908063 (Why is no real title available?)
• On nonlinear ill-posed inverse problems with applications to pricing of defaultable bonds and option pricing

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