Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization (Q4429859)
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scientific article; zbMATH DE number 1987586
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization |
scientific article; zbMATH DE number 1987586 |
Statements
Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization (English)
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30 September 2003
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options
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calibration
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ill-posed nonlinear inverse problem
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Tikhonov regularization
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parameter estimation
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\(W^{1,2}_{p}\) estimates
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