caa a22 4500 445363223 CHVBK 20180317142921.0 cr unu---uuuuu 170323e20111201xx s 000 0 eng 10.1007/s00780-011-0159-7 doi (NATIONALLICENCE)springer-10.1007/s00780-011-0159-7 On the calibration of local jump-diffusion asset price models [Elektronische Daten] [S. Kindermann, P. Mayer] We consider the inverse problem of calibrating a localized jump-diffusion process to given option price data. It is shown that applying Tikhonov regularization to the originally ill-posed problem yields a well-posed optimization problem. For the solution of the latter, i.e., the calibrated (infinite-dimensional) parameter of the process, we prove the stability and furthermore obtain convergence results. The work-horse for these proofs is the forward partial integro-differential equation associated to the European call price. Moreover, by providing a precise link between the parameters and the corresponding asset price models, we are able to carry over the stability and convergence results to the associated asset price models and hence to the model prices of exotic derivatives. Finally we indicate some possible applications. Springer-Verlag, 2011 Local Lévy model nationallicence Jump diffusion processes nationallicence Ill-posed problem nationallicence Robust calibration nationallicence Inverse problem nationallicence Tikhonov regularization nationallicence Kindermann S. Industrial Mathematics Institute, Johannes Kepler University Linz, Altenbergerstrasse 69, 4040, Linz, Austria aut Mayer P. Department of Mathematics, Graz University of Technology, Steyrergasse 30, 8010, Graz, Austria aut Finance and Stochastics Springer-Verlag 15/4(2011-12-01), 685-724 0949-2984 15:4<685 2011 15 780 https://doi.org/10.1007/s00780-011-0159-7 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00780-011-0159-7 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Kindermann S. Industrial Mathematics Institute, Johannes Kepler University Linz, Altenbergerstrasse 69, 4040, Linz, Austria aut NATIONALLICENCE 700 1- Mayer P. Department of Mathematics, Graz University of Technology, Steyrergasse 30, 8010, Graz, Austria aut NATIONALLICENCE 773 0- Finance and Stochastics Springer-Verlag 15/4(2011-12-01), 685-724 0949-2984 15:4<685 2011 15 780 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer