Jump to ContentJump to Main Navigation
Show Summary Details
More options …

Journal of Inverse and Ill-posed Problems

Editor-in-Chief: Kabanikhin, Sergey I.

IMPACT FACTOR 2017: 0.941
5-year IMPACT FACTOR: 0.953

CiteScore 2017: 0.91

SCImago Journal Rank (SJR) 2017: 0.461
Source Normalized Impact per Paper (SNIP) 2017: 1.022

Mathematical Citation Quotient (MCQ) 2017: 0.49

See all formats and pricing
More options …
Volume 17, Issue 4


Convergence rates results for recovering the volatility term structure including at-the-money options

T. Hein
  • Technische Universität Chemnitz, Fakultät für Mathematik, 09107 Chemnitz, Germany. Email:
  • Other articles by this author:
  • De Gruyter OnlineGoogle Scholar
Published Online: 2009-06-16 | DOI: https://doi.org/10.1515/JIIP.2009.024


Determining the term structure of local volatilities with at-the-money options represents a singular situation. On the one hand, prices of options with strikes close to the current asset price are known as most sensitive to variations in the volatility. Therefore such options should be preferred for reconstruction problems. On the other hand, the analysis of corresponding inverse problems seems to be much easier, if at-the-money options are excluded. In particular, convergence rate results for regularization approaches were formulated preferably for in-the-money and out-of-the-money options. This paper is contribution to bridge the gap. By application of a generalized Tikhonov regularization approach we present convergence rate results by formulating the underling inverse problem in appropriate spaces.

Key words.: inverse problem of option pricing; identification of local volatilities; Black–Scholes model; parabolic equations; ill-posed problem; regularization

About the article

Received: 2007-01-20

Published Online: 2009-06-16

Published in Print: 2009-06-01

Citation Information: Journal of Inverse and Ill-posed Problems, Volume 17, Issue 4, Pages 359–373, ISSN (Online) 1569-3945, ISSN (Print) 0928-0219, DOI: https://doi.org/10.1515/JIIP.2009.024.

Export Citation

Comments (0)

Please log in or register to comment.
Log in