AbstractWe explore the theoretical and numerical application of local regularization methods to an ill-posed inverse problem arising from financial option pricing. In addition, we provide an algorithm and show results through numerical examples
Ill-posed inverse problem solving using two methods of choosing of regularization paramete
A parameter used in the Black-Scholes equation, volatility, is a measure for variation of the price ...
The estimation of implied volatility is a typical PDE inverse problem. In this paper, we propose the...
This paper considers the estimation of an unknown function h that can be characterized as a solution...
The dissetation deals with the inverse problem of identification of local volatilities from given op...
An important issue in finance is model calibration. The calibration problem is the inverse of the op...
Abstract. We propose a stable nonparametric method for constructing an option pricing model of expon...
This paper presents a new algorithm to calibrate the option pricing model, i.e. the algorithm that r...
This paper is devoted to develop a robust penalty-based method of reconstructing smooth local volati...
This thesis deals with regularization parameter selection methods in the context of Tikhonov-type re...
2004We propose a stable nonparametric method for constructing an option pricing model of exponential...
University of Minnesota Ph.D. dissertation. March 2011. Advisor:Prof. Fadil Santosa. Major: Mathemat...
We address the inverse problem of local volatility surface calibration from market given option pric...
Abstract. We develop a local regularization theory for the nonlinear inverse autoconvolution problem...
We consider the solution of ill-posed inverse problems using regularization with tolerances. In part...
Ill-posed inverse problem solving using two methods of choosing of regularization paramete
A parameter used in the Black-Scholes equation, volatility, is a measure for variation of the price ...
The estimation of implied volatility is a typical PDE inverse problem. In this paper, we propose the...
This paper considers the estimation of an unknown function h that can be characterized as a solution...
The dissetation deals with the inverse problem of identification of local volatilities from given op...
An important issue in finance is model calibration. The calibration problem is the inverse of the op...
Abstract. We propose a stable nonparametric method for constructing an option pricing model of expon...
This paper presents a new algorithm to calibrate the option pricing model, i.e. the algorithm that r...
This paper is devoted to develop a robust penalty-based method of reconstructing smooth local volati...
This thesis deals with regularization parameter selection methods in the context of Tikhonov-type re...
2004We propose a stable nonparametric method for constructing an option pricing model of exponential...
University of Minnesota Ph.D. dissertation. March 2011. Advisor:Prof. Fadil Santosa. Major: Mathemat...
We address the inverse problem of local volatility surface calibration from market given option pric...
Abstract. We develop a local regularization theory for the nonlinear inverse autoconvolution problem...
We consider the solution of ill-posed inverse problems using regularization with tolerances. In part...
Ill-posed inverse problem solving using two methods of choosing of regularization paramete
A parameter used in the Black-Scholes equation, volatility, is a measure for variation of the price ...
The estimation of implied volatility is a typical PDE inverse problem. In this paper, we propose the...
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