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Instituto de Matematica Pura e Aplicada (IMPA)
Real Options, Mean-Reverting, Investment under Uncertainty, Uncertain Costs
liquidation risk, fire sales, value at risk, expected shortfall, risk management, price impact
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
Tikhonov Regularization, Discrete Setting, Regularization Convergence Rates, Discrepancy Principles.
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File name: SSRN-id3021776.pdf
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commodity future options, local volatility calibration, online approach, inverse problem, Tikhonov-type regularization
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