Identifying the implied volatility using the total variation regularization
Abstract This paper studies an inverse problem of determining the implied volatility in the financial products linked with gold price, which has important application in financial derivatives pricing. Based on the total variation regularization strategy, the existence and necessary condition of the...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2018-01-01
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| Series: | Boundary Value Problems |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s13661-018-0926-x |