Calibration of the volatility in option pricing using the total variation regularization

DOI10.1155/2014/510819zbMath1406.91459OpenAlexW1987149930WikidataQ59051791 ScholiaQ59051791MaRDI QIDQ1714637

Yu-Hua Zeng, Yu-Fei Yang, Shou-Lei Wang

Publication date: 1 February 2019

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/510819

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (3)

Identifying the implied volatility using the total variation regularization ⋮ Robust and accurate construction of the local volatility surface using the Black-Scholes equation ⋮ Fast reconstruction of time-dependent market volatility for European options

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