Calibration of the Volatility in Option Pricing Using the Total Variation Regularization
Joint Authors
Zeng, Yu-Hua
Wang, Shou-Lei
Yang, Yu-fei
Source
Journal of Applied Mathematics
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-03-25
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
In market transactions, volatility, which is a very important risk measurement in financial economics, has significantly intimate connection with the future risk of the underlying assets.
Identifying the implied volatility is a typical PDE inverse problem.
In this paper, based on the total variation regularization strategy, a bivariate total variation regularization model is proposed to estimate the implied volatility.
We not only prove the existence of the solution, but also provide the necessary condition of the optimal control problem—Euler-Lagrange equation.
The stability and convergence analyses for the proposed approach are also given.
Finally, numerical experiments have been carried out to show the effectiveness of the method.
American Psychological Association (APA)
Zeng, Yu-Hua& Wang, Shou-Lei& Yang, Yu-fei. 2014. Calibration of the Volatility in Option Pricing Using the Total Variation Regularization. Journal of Applied Mathematics،Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-477447
Modern Language Association (MLA)
Zeng, Yu-Hua…[et al.]. Calibration of the Volatility in Option Pricing Using the Total Variation Regularization. Journal of Applied Mathematics No. 2014 (2014), pp.1-9.
https://search.emarefa.net/detail/BIM-477447
American Medical Association (AMA)
Zeng, Yu-Hua& Wang, Shou-Lei& Yang, Yu-fei. Calibration of the Volatility in Option Pricing Using the Total Variation Regularization. Journal of Applied Mathematics. 2014. Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-477447
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-477447