Convex Regularization of Local Volatility Estimation in a Discrete Setting-Reference-Cited by-同舟云学术

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Convex Regularization of Local Volatility Estimation in a Discrete Setting

Published:2013 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Albani Vinicius Viana Luiz,De Cezaro Adriano,Zubelli Jorge P.

Publisher

Elsevier BV

Reference50 articles.

1. Computational Methods for Option Pricing;Y Achdou;Frontiers in Applied Mathematics,2005

2. Sobolev spaces;R A Adams;Pure and Applied Mathematics,1975

3. Volatility Calibration in Equity and Commodity Markets by Convex Regularization;V Albani;IMPA,2012

4. A Discrepancy-based Choice for Regularization parameter and Domain Discretization level in Tikhonov Regularization;V Albani;Working Paper,2013

5. Regularization properties of the sequential discrepancy principle for Tikhonov regularization in Banach spaces;S Anzengruber;Appl. Anal,2013

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Local volatility models in commodity markets and online calibration;The Journal of Computational Finance;2017

2. On the choice of the Tikhonov regularization parameter and the discretization level: A discrepancy-based strategy;Inverse Problems and Imaging;2016-02

3. On the Choice of the Tikhonov Regularization Parameter and the Discretization Level: A Discrepancy-Based Strategy;SSRN Electronic Journal;2014

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