Regularization for the inverse problem of finding the purely time-dependent volatility

DOI10.1007/S10013-015-0164-9MaRDI QIDQ331596zbMATH OpenOpenAlexFDO

Authors Dinh Ngoc Thanh, Nguyen Nhu Lan, Dang Duc Trong

Publication date 27 October 2016

Published in Vietnam Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10013-015-0164-9

zbMATH Keywords

calibrationill-posedregularizationvolatility

Mathematics Subject Classification ID

Inverse problems for PDEs (35R30) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A computational scheme for uncertain volatility model in option pricing
• A new approach to convergence rate analysis of Tikhonov regularization for parameter identification in heat conduction
• An inverse problem of determining the implied volatility in option pricing
• Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
• Calibration of the purely t-dependent Black-Scholes implied volatility
• Convex regularization of local volatility models from option prices: convergence analysis and rates
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• scientific article; zbMATH DE number 1051049 (Why is no real title available?)
• scientific article; zbMATH DE number 5496999 (Why is no real title available?)
• Identifying the volatility of underlying assets from option prices
• Modulus of continuity of Nemytskii operators with application to the problem of option pricing
• On decoupling of volatility smile and term structure in inverse option pricing
• On Maximum Entropy Regularization for a Specific Inverse Problem of Option Pricing
• On the nature of ill-posedness of an inverse problem arising in option pricing
• Recover implied volatility of underlying asset from European option price
• Recovery of volatility coefficient by linearization
• Some analysis of Tikhonov regularization for the inverse problem of option pricing in the price-dependent case
• The inverse problem of option pricing
• Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets

Cited in

(4)

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• Valuation of volatility derivatives as an inverse problem
• An inverse European option problem in estimating the time-dependent volatility function with statistical analysis
• Calibration of the purely t-dependent Black-Scholes implied volatility

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