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Recovery of local volatility for financial assets with mean-reverting price processes (Q2001544)

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scientific article; zbMATH DE number 7076359
Language Label Description Also known as
English
Recovery of local volatility for financial assets with mean-reverting price processes
scientific article; zbMATH DE number 7076359

    Statements

    title
    Recovery of local volatility for financial assets with mean-reverting price processes (English)
    0 references
    author
    Qi Hong Chen
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    publication date
    3 July 2019
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    zbMATH Keywords
    recovery of local volatility
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    mean-reverting process
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    inverse problem
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    optimal control
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    49N90
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    91G70
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    93B30
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    93C20
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    zbMATH DE Number
    7076359
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    OpenAlex ID
    W2890075946
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    Wikidata QID
    Q129106588
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    DOI
    10.3934/MCRF.2018026
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