Maximum entropy regularization for calibrating a time-dependent volatility function
We investigate the applicability of the method of maximum entropy regularization (MER) including convergence and convergence rates of regularized solutions to the specific inverse problem (SIP) of calibrating a purely time-dependent volatility function. In this context, we extend the results of [16]...
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| Format: | Others |
| Language: | English |
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Universitätsbibliothek Chemnitz
2004
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| Online Access: | http://nbn-resolving.de/urn:nbn:de:swb:ch1-200401213 http://nbn-resolving.de/urn:nbn:de:swb:ch1-200401213 http://www.qucosa.de/fileadmin/data/qucosa/documents/4869/data/ho_kr_tagungsband_2003.pdf http://www.qucosa.de/fileadmin/data/qucosa/documents/4869/20040121.txt |