Convex regularization of local volatility models from option prices: Convergence analysis and rates - De Cezaro, A.; Scherzer, O.; Zubelli, J.P. (Nonlinear analysis, 2012)
Keywords: Convergence; Convergence rates; Convex regularization; Convex risk measures; Functionals; Local volatility surface identification; Noise levels; Nonlinearity; Regularization; Risk; Source condition interpretation; Spreads; Volatility; Convex regularization; Convex risk measures; Local volatility surface identification; Convergence rates; primary; Source condition interpretation