On local regularization for an inverse problem of option pricing

DOI10.1016/J.AML.2011.03.007zbMath1231.91440OpenAlexW2070488385MaRDI QIDQ548392

Cynthia Lester, Ruya Huang, Xiaoyue Luo

Publication date: 28 June 2011

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2011.03.007

zbMATH Keywords

inverse problemoption priceslocal regularization

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)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• An inverse problem of determining the implied volatility in option pricing
• Identifying the volatility of underlying assets from option prices
• On the nature of ill-posedness of an inverse problem arising in option pricing
• On Maximum Entropy Regularization for a Specific Inverse Problem of Option Pricing
• Full convergence of sequential local regularization methods for Volterra inverse problems
• Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
• On decoupling of volatility smile and term structure in inverse option pricing

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