CONVEX REGULARIZATION OF LOCAL VOLATILITY ESTIMATION
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Publication:2970321
DOI10.1142/S0219024917500066zbMath1396.91711arXiv1308.2659MaRDI QIDQ2970321
Adriano De Cezaro, Jorge P. Zubelli, Vinicius V. L. Albani
Publication date: 30 March 2017
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1308.2659
regularization convergence ratesconvex regularizationlocal volatility surfacesnumerical methods for volatility calibration
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (5)
Stable reconstruction of the volatility in a regime-switching local-volatility model ⋮ The calibration of stochastic local-volatility models: an inverse problem perspective ⋮ A connection between uniqueness of minimizers in Tikhonov-type regularization and Morozov-like discrepancy principles ⋮ Simultaneous identification of volatility and interest rate functions -- a two-parameter regularization approach ⋮ A splitting strategy for the calibration of jump-diffusion models
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