Calibration of the Volatility in Option Pricing Using the Total Variation Regularization.
Yu-Hua ZengShou-Lei WangYu-Fei YangPublished in: J. Appl. Math. (2014)
Keyphrases
- option pricing
- stock price
- total variation regularization
- total variation
- image denoising
- image deblurring
- stock market
- denoising
- locally adaptive
- non stationary
- camera calibration
- stock exchange
- black scholes
- financial markets
- augmented lagrangian
- historical data
- news articles
- financial time series
- matrix valued
- image restoration
- financial data
- regularization parameter
- parameter selection
- exchange rate
- short term
- image processing
- black scholes model
- smooth regions
- long term