Regularization for the Inverse Problem of Finding the Purely Time-Dependent Volatility

	Regularization for the Inverse Problem of Finding the Purely Time-Dependent Volatility
Authors:	Dang, Duc Trong Nguyen, Nhu Lan Dinh, Ngoc Thanh
Keywords:	Calibration Regularization Volatility·Ill-posed
Issue Date:	2016
Publisher:	H. : ĐHQGHN
Citation:	ISIKNOWLEDGE
Abstract:	We consider the inverse problem of finding the volatilityσ∈L ρ (0,T )such that UBS(X,K,r,t, t 0 σ 2 (τ)dτ)=u(t),0≤t ≤T,whereUBSis the Black–Scholes formula andu(t)is the observable fair price of an European call option. The problem is ill-posed. Using the residual method, we shall regularize the problem. An explicit error estimate is given.
Description:	VIETNAM JOURNAL OF MATHEMATICS Volume: 44 Issue: 3 Pages: 513-530 ; TNS06374
URI:	http://repository.vnu.edu.vn/handle/VNU_123/26701
Appears in Collections:	Bài báo của ĐHQGHN trong Web of Science

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