Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization
type: Item
instance of: scholarly article
title: Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization
zbMATH Open document ID: 1294.91187
DOI: 10.1080/14697688.2013.819988
author: Jian Geng
author: X. Chen
author: I. M. Navon
published in: Quantitative Finance
publication date: 2014-09-05T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 65F22
Mathematics Subject Classification ID: 65M30
zbMATH DE Number: 6340754
zbMATH Keywords: local volatility surface
zbMATH Keywords: second-order Tikhonov regularization
zbMATH Keywords: SVD
zbMATH Keywords: large scale nonlinear inverse problem
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1080/14697688.2013.819988
OpenAlex ID: W1996207923
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description: scientific article; zbMATH DE number 6340754