22 citations · 36 across the 7 of their papers we have counts for
3 papers · 1 filter
Data driven recovery of local volatility surfaces
Vinicius Albani, Uri M. Ascher, Xu Yang +1
This paper examines issues of data completion and location uncertainty, popular in many practical PDE-based inverse problems, in the context of option calibration via recovery of l…
Convex Regularization of Local Volatility Estimation in a Discrete Setting
Vinicius V. L. Albani, Adriano De Cezaro, Jorge Passamani Zubelli
We apply convex regularization techniques to the problem of calibrating the local volatility surface model of Dupire taking into account the practical requirement of discrete grids…
Online Local Volatility Calibration by Convex Regularization with Morozov's Principle and Convergence Rates
Vinicius V. L. Albani, Jorge P. Zubelli
We address the inverse problem of local volatility surface calibration from market given option prices. We integrate the ever-increasing flow of option price information into the w…