Skip to Main content Skip to Navigation
Journal articles

An alternative algorithm for regularization of noisy volatility calibration in Finance

Abstract : This contribution is an extension of the work initiated in [1], presenting a strategy for the calibration of the local volatility. Due to Morozov's discrepancy principle [6], the Tikhonov regularization problem introduced in [7] is understood as an inequality-constrained minimization problem. An Uzawa procedure is proposed to replace this latter by a sequence of unconstrained problems dealt with in the modified Thikonov regularization procedure in [1]. Numerical tests confirm the consistency of the approach and the significant speed-up of the process of local volatility determination.
Document type :
Journal articles
Complete list of metadata

Cited literature [3 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-01317073
Contributor : ibtissam Medarhri Connect in order to contact the contributor
Submitted on : Tuesday, November 29, 2016 - 11:30:26 PM
Last modification on : Monday, June 28, 2021 - 2:26:07 PM
Long-term archiving on: : Tuesday, March 21, 2017 - 10:00:50 AM

File

ARIMA-Vol23-Ibtissam.pdf
Files produced by the author(s)

C'est fichier final après les modifications des comités de lecture, ils m'on envoyé cette version pour la mise à jour dans votre site qu'il soit publié dans l'édition spécial LEM2I volume 23

Identifiers

Citation

Medarhri Ibtissam, Aboulaich Rajae, Naima Debit. An alternative algorithm for regularization of noisy volatility calibration in Finance. Revue Africaine de la Recherche en Informatique et Mathématiques Appliquées, INRIA, 2016, special issue, LEM2I, Volume 23 - 2016 - Special issue for LEM2I 2016, pp.37-41. ⟨10.46298/arima.1492⟩. ⟨hal-01317073v2⟩

Share

Metrics

Record views

275

Files downloads

561