Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates (Q5462082)
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scientific article; zbMATH DE number 2190036
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates |
scientific article; zbMATH DE number 2190036 |
Statements
Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates (English)
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1 August 2005
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stable identification of local volatility surfaces
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Black-Scholes/Dupire equation
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market prices of European vanilla options
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stability
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convergence of approximations
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Tikhonov regularization
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