Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
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Publication:4429859
DOI10.1137/S0036141001400202zbMath1126.35373MaRDI QIDQ4429859
Publication date: 30 September 2003
Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)
optionsparameter estimationcalibrationTikhonov regularizationill-posed nonlinear inverse problem\(W^{1,2}_{p}\) estimates
Nonlinear parabolic equations (35K55) Ill-posed problems for PDEs (35R25) Inverse problems for PDEs (35R30) Derivative securities (option pricing, hedging, etc.) (91G20)
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