Pages that link to "Item:Q5462082"

The following pages link to Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates (Q5462082):

Displaying 50 items.

• On the choice of the Tikhonov regularization parameter and the discretization level: a discrepancy-based strategy (Q254777) (← links)
• Error analysis of an HDG method for a distributed optimal control problem (Q298187) (← links)
• Regularization for the inverse problem of finding the purely time-dependent volatility (Q331596) (← links)
• Convex regularization of local volatility models from option prices: convergence analysis and rates (Q412709) (← links)
• On the calibration of local jump-diffusion asset price models (Q484208) (← links)
• Reconstructing local volatility using total variation (Q523719) (← links)
• On local regularization for an inverse problem of option pricing (Q548392) (← links)
• Uniqueness and stability of the minimizer for a binary functional arising in an inverse heat conduction problem (Q549781) (← links)
• An inverse problem of identifying the coefficient of first-order in a degenerate parabolic equation (Q550104) (← links)
• Stable numerical differentiation for the second order derivatives (Q609545) (← links)
• A preconditioning technique for a class of PDE-constrained optimization problems (Q652568) (← links)
• A connection between uniqueness of minimizers in Tikhonov-type regularization and Morozov-like discrepancy principles (Q667787) (← links)
• A splitting strategy for the calibration of jump-diffusion models (Q784736) (← links)
• Identification of the local speed function in a Lévy model for option pricing (Q935180) (← links)
• An inverse problem arisen in the zero-coupon bond pricing (Q974534) (← links)
• Controllability and hedgibility of Black-Scholes equations with \(N\) stocks (Q983690) (← links)
• Sequential quadratic programming method for volatility estimation in option pricing (Q1014041) (← links)
• On nonlinear ill-posed inverse problems with applications to pricing of defaultable bonds and option pricing (Q1042946) (← links)
• An inverse problem of identifying the coefficient in a nonlinear parabolic equation (Q1044501) (← links)
• How should a local regime-switching model be calibrated? (Q1655569) (← links)
• Calibration of stochastic volatility models: a Tikhonov regularization approach (Q1656762) (← links)
• The adjoint method for the inverse problem of option pricing (Q1718099) (← links)
• A novel fractional Tikhonov regularization coupled with an improved super-memory gradient method and application to dynamic force identification problems (Q1720969) (← links)
• A Fokker-Planck control framework for stochastic systems (Q1755915) (← links)
• Sparsity-homotopy perturbation inversion method with wavelets and applications to Black-Scholes model and Todaro model (Q1792826) (← links)
• Recovery of local volatility for financial assets with mean-reverting price processes (Q2001544) (← links)
• Data driven recovery of local volatility surfaces (Q2013860) (← links)
• Fast reconstruction of time-dependent market volatility for European options (Q2027727) (← links)
• Parallel generalized Lagrange-Newton method for fully coupled solution of PDE-constrained optimization problems with bound-constraints (Q2106215) (← links)
• A fractional Tikhonov regularization method for an inverse backward and source problems in the time-space fractional diffusion equations (Q2145473) (← links)
• Stable reconstruction of the volatility in a regime-switching local-volatility model (Q2175621) (← links)
• The calibration of stochastic local-volatility models: an inverse problem perspective (Q2204027) (← links)
• An optimal control method for nonlinear inverse diffusion coefficient problem (Q2251575) (← links)
• Numerical simulation for an inverse source problem in a degenerate parabolic equation (Q2285915) (← links)
• Galerkin method with trigonometric basis on stable numerical differentiation (Q2287621) (← links)
• Algorithm for determining the volatility function in the Black-Scholes model (Q2300719) (← links)
• Parameter identification by optimization method for a pollution problem in porous media (Q2313147) (← links)
• Simultaneous identification of volatility and interest rate functions -- a two-parameter regularization approach (Q2323025) (← links)
• Numerical differentiation by a Fourier extension method with super-order regularization (Q2335513) (← links)
• A new method for numerical differentiation based on direct and inverse problems of partial differential equations (Q2344425) (← links)
• The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process (Q2355530) (← links)
• Recovery of time dependent volatility coefficient by linearization (Q2438347) (← links)
• Identifying the coefficient of first-order in parabolic equation from final measurement data (Q2483554) (← links)
• Some analysis of Tikhonov regularization for the inverse problem of option pricing in the price-dependent case (Q2492071) (← links)
• Recovery of the local volatility function using regularization and a gradient projection method (Q2514665) (← links)
• Reconstruction of local volatility for the binary option model (Q2520115) (← links)
• A numerical differentiation method based on Legendre expansion with super order Tikhonov regularization (Q2662615) (← links)
• Equity correlations implied by index options: estimation and model uncertainty analysis (Q2847242) (← links)
• Preconditioners for Some Matrices of Two-by-Two Block Form, with Applications, I (Q2847762) (← links)
• Calibrating local volatility in inverse option pricing using the Levenberg-Marquardt method (Q2874459) (← links)