Online local volatility calibration by convex regularization

DOI10.2298/AADM140811012AzbMath1461.91346arXiv1211.0170OpenAlexW3122761224MaRDI QIDQ2969172

Jorge P. Zubelli, Vinicius V. L. Albani

Publication date: 14 March 2017

Published in: Applicable Analysis and Discrete Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.0170

zbMATH Keywords

convergence ratesonline estimationMorozov's principle

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32)

Related Items (6)

The calibration of stochastic local-volatility models: an inverse problem perspective ⋮ Data driven recovery of local volatility surfaces ⋮ Fast reconstruction of time-dependent market volatility for European options ⋮ Simultaneous identification of volatility and interest rate functions -- a two-parameter regularization approach ⋮ A splitting strategy for the calibration of jump-diffusion models ⋮ On the choice of the Tikhonov regularization parameter and the discretization level: a discrepancy-based strategy

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