An implementation of Bouchouev's method for a short time calibration of option pricing models

DOI10.1023/A:1026177612385zbMath1089.91017OpenAlexW1547884789MaRDI QIDQ1417057

Carl Chiarella, Mark Craddock, Nadima El-Hassan

Publication date: 18 December 2003

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1026177612385

zbMATH Keywords

inverse problemsintegral equationscalibrationfundamental solutions of PDE

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Inverse problems for integral equations (45Q05)

Related Items (3)

Index of function inversion ⋮ Conservation law of strike price and inversion of the Black-Scholes formula ⋮ Some analysis of Tikhonov regularization for the inverse problem of option pricing in the price-dependent case

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