Some analysis of Tikhonov regularization for the inverse problem of option pricing in the price-dependent case

DOI10.4171/ZAA/1258zbMath1109.35120OpenAlexW2053105494MaRDI QIDQ2492071

Torsten Hein

Publication date: 6 June 2006

Published in: Zeitschrift für Analysis und ihre Anwendungen (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4171/zaa/1258

zbMATH Keywords

convergence ratesfundamental solutionTikhonov regularizationill-posed probleminverse option pricingvolatility identification

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Inverse problems for PDEs (35R30) Numerical solutions of ill-posed problems in abstract spaces; regularization (65J20)

Related Items (5)

Modeling and implementation of local volatility surfaces in Bayesian framework ⋮ Regularization for the inverse problem of finding the purely time-dependent volatility ⋮ Bayesian uncertainty quantification of local volatility model ⋮ Calibration of the purely T-dependent Black–Scholes implied volatility ⋮ Recovery of the local volatility function using regularization and a gradient projection method

Cites Work

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• On the nature of ill-posedness of an inverse problem arising in option pricing
• Calibrating volatility surfaces via relative-entropy minimization
• Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates

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