On Maximum Entropy Regularization for a Specific Inverse Problem of Option Pricing

DOI10.1163/1569394053583739zbMath1086.91029OpenAlexW4253669103MaRDI QIDQ4663926

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Publication date: 4 April 2005

Full work available at URL: https://semanticscholar.org/paper/50b7fe47e1a4a546356444dda703cba6f6860138

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 (13)

Regularization of linear ill-posed problems involving multiplication operators ⋮ Regularization for the inverse problem of finding the purely time-dependent volatility ⋮ How should a local regime-switching model be calibrated? ⋮ Convex regularization of local volatility models from option prices: convergence analysis and rates ⋮ On some inverse problems for the Black-Scholes equation ⋮ CONVEX REGULARIZATION OF LOCAL VOLATILITY ESTIMATION ⋮ A connection between uniqueness of minimizers in Tikhonov-type regularization and Morozov-like discrepancy principles ⋮ On local regularization for an inverse problem of option pricing ⋮ Data driven recovery of local volatility surfaces ⋮ Recovery of the local volatility function using regularization and a gradient projection method ⋮ Recovery of the time-dependent implied volatility of time fractional Black-Scholes equation using linearization technique ⋮ Entropy binomial tree method and calibration for the volatility smile ⋮ Simultaneous identification of volatility and interest rate functions -- a two-parameter regularization approach

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