The tangential cone condition for the iterative calibration of local volatility surfaces

DOI10.1093/imamat/hxt037zbMath1309.35178OpenAlexW1988666925MaRDI QIDQ5176565

Adriano De Cezaro, Jorge P. Zubelli

Publication date: 26 February 2015

Published in: IMA Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imamat/hxt037

zbMATH Keywords

parameter identificationiterative regularizationlocal volatility surfacestangential cone condition

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Inverse problems for PDEs (35R30) Numerical solutions of ill-posed problems in abstract spaces; regularization (65J20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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