Identification of the local speed function in a Lévy model for option pricing

DOI10.1216/JIE-2008-20-2-161zbMath1149.91034MaRDI QIDQ935180

Heinz W. Engl, Stefan Kindermann, Hansjoerg Albrecher, Philipp A. Mayer

Publication date: 5 August 2008

Published in: Journal of Integral Equations and Applications (Search for Journal in Brave)

zbMATH Keywords

option pricing; Tikhonov regularization; Lévy model; calibration method

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

65J15: Numerical solutions to equations with nonlinear operators

65R30: Numerical methods for ill-posed problems for integral equations

65J20: Numerical solutions of ill-posed problems in abstract spaces; regularization

Related Items

Adjoint-based Monte Carlo calibration of financial methods

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Jump-Diffusion Model for Option Pricing
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Spectral calibration of exponential Lévy models
• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
• An introduction to partial differential equations
• Linear integral equations.
• The use of Morozov's discrepancy principle for Tikhonov regularization for solving nonlinear ill-posed problems
• Integro-differential equations for option prices in exponential Lévy models
• Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
• Convergence rates for Tikhonov regularisation of non-linear ill-posed problems
• Identification of Parameters in Distributed Parameter Systems by Regularization
• Tikhonov regularization of nonlinear ill-posed problems with closed operators in Hilbert scales
• Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
• First passage times of a jump diffusion process
• Regularization of exponentially ill-posed problems
• MOROZOV'S DISCREPANCY PRINCIPLE FOR TIKHONOV-REGULARIZATION OF NONLINEAR OPERATORS
• Tikhonov regularization of nonlinear III-posed problems in hilbert scales
• Stochastic Volatility for Lévy Processes
• Financial Modelling with Jump Processes
• Fast deterministic pricing of options on Lévy driven assets
• Computational Methods for Option Pricing
• Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates