Calibration of the Volatility in Option Pricing Using the Total Variation Regularization
Work
Year: 2014
Type: article
Abstract: In market transactions, volatility, which is a very important risk measurement in financial economics, has significantly intimate connection with the future risk of the underlying assets. Identifying ... more
Source: Journal of Applied Mathematics
Authors Zeng Yu-hua, Shou-Lei Wang, Yu-Fei Yang
Cites: 49
Cited by: 5
Related to: 10
FWCI: 0.363
Citation percentile (by year/subfield): 76.03
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
APC paid (est): $1,025
Funders National Natural Science Foundation of China, National Natural Science Foundation of China, National Natural Science Foundation of China
Grant IDS 11271117, K1207023-31, 60872129