Identifying the volatility of underlying assets from option prices

By Lishang Jiang, Youshan Tao. 2001

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A convergence rates result for Tikhonov regularization in Banach spaces with non-smooth operators (2007, background): “Substantial contributions to that topic have been published by Bouchouev & Isakov [7, 8], Lagnado & Osher [34], Jackson, Süli & Howison [30], Crépey [17] and Egger & Engl [19] (see also [3, 16, 25, 36, 40]).”
Arbitrage-free smoothing of the implied volatility surface (2009, background): “( 1997 ), Dempster and Richards ( 2000 ), Jiang and Tao ( 2001 ) and Jiang et al .”
Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates (2005, background): “[5, 6, 27]) in the following and assume continuous observations on an arbitrarily small time interval (T − ,T ).”