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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.
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Submitted on : Tuesday, November 29, 2016 - 11:30:26 PM
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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



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⟩



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