Reconstructing local volatility using total variation

DOI10.1007/S10114-017-5178-7MaRDI QIDQ523719zbMATH OpenOpenAlexFDO

Authors Rui Yan Zhang, Fang Fang Xu, Jian Chao Huang

Publication date 21 April 2017

Published in Acta Mathematica Sinica, English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10114-017-5178-7

zbMATH Keywords

optimizationfinite differencemultigrid methodDupire's equationVolatility smile

Mathematics Subject Classification ID

Discrete approximations in optimal control (49M25) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32) Stochastic models in economics (91B70)

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Cites work

• scientific article; zbMATH DE number 5232303 (Why is no real title available?)
• scientific article; zbMATH DE number 5060482 (Why is no real title available?)
• A Line Search Multigrid Method for Large-Scale Nonlinear Optimization
• An Iterative Regularization Method for Total Variation-Based Image Restoration
• Calibration of the local volatility in a trinomial tree using Tikhonov regularization
• Estimation of local volatilities in a generalized Black-Scholes model
• Multigrid Method for Maxwell's Equations
• Numerical experience with a recursive trust-region method for multilevel nonlinear bound-constrained optimization
• Optimization theory and methods. Nonlinear programming
• Reconstructing the unknown local volatility function
• Recursive Trust-Region Methods for Multiscale Nonlinear Optimization
• The Immersed Interface/Multigrid Methods for Interface Problems
• The pricing of options and corporate liabilities
• Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
• Variational Analysis for the Black and Scholes Equation with Stochastic Volatility

Cited in

(18)

• Modeling and implementation of local volatility surfaces in Bayesian framework
• Image restoration by second-order total generalized variation and wavelet frame regularization
• A penalty-based method from reconstructing smooth local volatility surface from American options
• Reconstruction of local volatility for the binary option model
• Fast algorithms for sparse inverse covariance estimation
• Algorithm for determining the volatility function in the Black-Scholes model
• Sequential quadratic programming method for volatility estimation in option pricing
• Recovery of volatility coefficient by linearization
• Verifiable quantum secret sharing protocols based on four-qubit entangled states
• A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE
• On some inverse problems for the Black-Scholes equation
• Recovery of the local volatility function using regularization and a gradient projection method
• Reconstruction of local volatility surface from American options
• VOLATILITY SMILE BY MULTILEVEL LEAST SQUARE
• New quantum key agreement protocols based on cluster states
• Two-party quantum key agreement over a collective noisy channel
• Hybrid variational model based on alternating direction method for image restoration
• Image restoration by a mixed high-order total variation and \(l_1\) regularization model

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