@article{Zhao2022, 
author = {Jiajia Zhao and Zuoliang Xu},
title = {Calibration of time-dependent volatility for European options under the fractional Vasicek model},
year = {2022},
journal = {AIMS Mathematics},
volume = {7},
number = {6},
pages = {11053-11069},
keywords = {calibration, fractional Vasicek model, European option, regularization, numerical methods},
url = {https://www.sciopen.com/article/10.3934/math.2022617},
doi = {10.3934/math.2022617},
abstract = {In this paper, we calibrate the time-dependent volatility function for European options under the fractional Vasicek interest rate model. A fully implicit finite difference method is applied to solve the partial differential equation of option pricing numerically. To find the volatility function, we minimize a cost function that is the sum of the squared errors between the theoretical prices and market prices with Tikhonov        L    2   regularization and        L          1              /            2       regularization respectively. Finally numerical experiments with simulated and real market data verify the efficiency of the proposed methods.}
}