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20122016
most citedOnline Local Volatility Calibration by Convex Regularization with Morozov's Principle and Convergence Rates

12 citations · 13 across the 3 of their papers we have counts for

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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…