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Data driven recovery of local volatility surfaces - MaRDI portal

Data driven recovery of local volatility surfaces (Q2013860)

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Data driven recovery of local volatility surfaces
scientific article

    Statements

    title
    Data driven recovery of local volatility surfaces (English)
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    author
    Uri M. Ascher
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    Xu Yang
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    Vinicius V. L. Albani
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    Jorge P. Zubelli
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    publication date
    9 August 2017
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    zbMATH Keywords
    data science
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    local volatility calibration
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    inverse problem
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    Tikhonov-type regularization
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    ensemble Kalman filter
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    Identifiers

    DOI
    10.3934/ipi.2017038
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    Mathematics Subject Classification ID
    45Q05
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    97M30
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    65R32
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    zbMATH DE Number
    6758993
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    OpenAlex ID
    W2963109306
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    arXiv ID
    1512.07660
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