Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization (Q2879013)
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scientific article; zbMATH DE number 6340754
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization |
scientific article; zbMATH DE number 6340754 |
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Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization (English)
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5 September 2014
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local volatility surface
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second-order Tikhonov regularization
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SVD
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large scale nonlinear inverse problem
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