Calibration of the Local Volatility in a Generalized Black-Scholes Model Using Tikhonov Regularization.

Stéphane Crépey

Published in: SIAM J. Math. Anal. (2003)

Keyphrases

tikhonov regularization
black scholes model
option pricing
stock price
image restoration
regularization parameter
preconditioned conjugate gradient
stock market
vector valued
image processing
multiscale
feature space
least squares