2018
DOI: 10.1186/s13661-018-0926-x
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Abstract: This paper studies an inverse problem of determining the implied volatility in the financial products linked with gold price, which has important application in financial derivatives pricing. Based on the total variation regularization strategy, the existence and necessary condition of the minimum for the control function are addressed, and the local uniqueness of the solution is also given by a modified case. Furthermore, the stability and convergence for the regularized approach are discussed. The results ob… Show more

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