Online Local Volatility Calibration by Convex Regularization with Morozov's Principle and Convergence Rates

Author:

Albani Vinicius Viana Luiz,Zubelli Jorge P.

Publisher

Elsevier BV

Reference32 articles.

1. A set M is called equicontinuous on B X if for every x 0 ? B X and every zero neighborhood, V ? Y there is a zero neighborhood U ? X such that G(x 0 ) ? G(x) ? V for all G ? M and all x ? B X with x ? x 0 ? U . Furthermore, M is called uniformly equicontinuous if for every zero neighborhood V ? Y there exists a zero neighborhood U ? X such that G(x) ? G(x ) ? V for all G ? M and all x;M ? C(b X B X ? X;A.2 Equicontinuity Let X and Y be locally convex spaces. Fix the sets

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

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