Calibration of stochastic volatility models: a Tikhonov regularization approach

DOI10.1016/j.jedc.2016.01.002zbMath1401.91466OpenAlexW2316891366MaRDI QIDQ1656762

Min Dai, Ling Tang, Xing Ye Yue

Publication date: 10 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2016.01.002

zbMATH Keywords

inverse problemcalibrationTikhonov regularizationstochastic volatility model

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32)

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