Open AccessThe regularized implied local volatility equations -A new model to recover the volatility of underlying asset from observed market option price
Author(s) -
Lishang Jiang,
Baojun Bian
Publication year - 2012
Publication title -
discrete and continuous dynamical systems - b
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.864
H-Index - 53
eISSN - 1553-524X
pISSN - 1531-3492
DOI - 10.3934/dcdsb.2012.17.2017
Subject(s) - tikhonov regularization , volatility (finance) , local volatility , econometrics , mathematical proof , nonlinear system , implied volatility , regularization (linguistics) , economics , inverse , mathematics , inverse problem , mathematical economics , computer science , mathematical analysis , physics , geometry , quantum mechanics , artificial intelligence
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