On local regularization for an inverse problem of option pricing
type: Item
instance of: scholarly article
title: On local regularization for an inverse problem of option pricing
zbMATH Open document ID: 1231.91440
author: Cynthia Lester
author: Xiaoyue Luo
author: Ruya Huang
published in: Applied Mathematics Letters
publication date: 2011-06-28T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M32
zbMATH DE Number: 5914128
zbMATH Keywords: option prices
zbMATH Keywords: local regularization
zbMATH Keywords: inverse problem
MaRDI profile type: Publication
full work available at URL: j.aml.2011.03.007
OpenAlex ID: W2070488385
cites work: The pricing of options and corporate liabilities
cites work: Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
cites work: On decoupling of volatility smile and term structure in inverse option pricing
cites work: On the nature of ill-posedness of an inverse problem arising in option pricing
cites work: On Maximum Entropy Regularization for a Specific Inverse Problem of Option Pricing
cites work: An inverse problem of determining the implied volatility in option pricing
cites work: Identifying the volatility of underlying assets from option prices
cites work: Q4349551
cites work: Full convergence of sequential local regularization methods for Volterra inverse problems
DOI: 10.1016/J.AML.2011.03.007
description: scientific article; zbMATH DE number 5914128