Simultaneous identification of volatility and interest rate functions -- a two-parameter regularization approach
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Cites work
- scientific article; zbMATH DE number 936298 (Why is no real title available?)
- A Regularization Parameter in Discrete Ill-Posed Problems
- Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
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- Convex regularization of local volatility models from option prices: convergence analysis and rates
- Data driven recovery of local volatility surfaces
- Efficient determination of multiple regularization parameters in a generalized L-curve framework
- Ill-posedness versus ill-conditioning–an example from inverse option pricing
- Inverse Problems Light: Numerical Differentiation
- Modulus of continuity of Nemytskii operators with application to the problem of option pricing
- Multi-penalty regularization with a component-wise penalization
- On Maximum Entropy Regularization for a Specific Inverse Problem of Option Pricing
- On NEMYTSKIJ Operators inLp-Spaces of Abstract Functions
- On decoupling of volatility smile and term structure in inverse option pricing
- On ill-posedness concepts, stable solvability and saturation
- On the convergence of the quasioptimality criterion for (iterated) Tikhonov regularization
- On the nature of ill-posedness of an inverse problem arising in option pricing
- Online local volatility calibration by convex regularization
- Regularization methods for large-scale problems
- Regularization methods in Banach spaces.
- Regularization theory for ill-posed problems. Selected topics
- Remarks on choosing a regularization parameter using the quasi-optimality and ratio criterion
- The Use of the L-Curve in the Regularization of Discrete Ill-Posed Problems
- The pricing of options and corporate liabilities
- The quasi-optimality criterion for classical inverse problems
- The tangential cone condition for the iterative calibration of local volatility surfaces
- 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
- Variational methods in imaging
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