Total variation regularization analysis for inverse volatility option pricing problem-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Total variation regularization analysis for inverse volatility option pricing problem

Published:2024-04-24 Issue:5 Volume:101 Page:483-511
ISSN:0020-7160
Container-title:International Journal of Computer Mathematics
language:en
Short-container-title:International Journal of Computer Mathematics

Author:

Yimamu Yilihamujiang¹²,Deng Zui-Cha³,Sam C. N.¹^ORCID,Hon Y. C.⁴

Affiliation:

1. Department of Mathematics, City University of Hong Kong, Hong Kong Special Administrative Region, People's Republic of China

2. Department of Mathematics, Southeast University, Nanjing, People's Republic of China

3. Department of Mathematics and Physics, Lanzhou Jiaotong University, Lanzhou, People's Republic of China

4. Department of Mathematics, The Chinese University of Hong Kong, Hong Kong Special Administrative Region, People's Republic of China

Funder

Research Grant Council of the Hong Kong Special Administrative Region

NNSF of China

A Hundred Youth Talents Training Program of Lanzhou Jiaotong University

NSF of Gansu Province of China

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/00207160.2024.2345660

Reference33 articles.

1. Analysis of bounded variation penalty methods for ill-posed problems

2. R.A. Adams, Sobolev Spaces, Academic Press, New York, 1975.

3. Computing the Black–Scholes implied volatility: Generalization of a simple formula;Bharadia M.;Adv. Futures Options Res.,1995

4. The Pricing of Options and Corporate Liabilities

5. Recovery of volatility coefficient by linearization

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP