Oskar Morgenstern-Platz 1
Vienna, Vienna 1090
Computational Science Center - University of Vienna
Convex regularization, local volatility surfaces, regularization convergence rates, numerical methods for volatility calibration
Local Volatility Calibration, Convex Regularization, Online Estimation, Morozov's Principle, Convergence Rates
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File name: SSRN-id3021776.
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commodity future options, local volatility calibration, online approach, inverse problem, Tikhonov-type regularization
Tikhonov Regularization, Discrete Setting, Regularization Convergence Rates, Discrepancy Principles.
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