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math.NA2013★ 1 cited
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…
math.NA2012★ 12 cited
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…