A perturbative approach for reconstructing diffusion coefficients

DOI10.1016/S0096-3003(03)00684-2zbMath1050.65087OpenAlexW2084774845MaRDI QIDQ1827346

Minaya Villasana, Henryk Gzyl

Publication date: 6 August 2004

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0096-3003(03)00684-2

zbMATH Keywords

inverse problemnumerical experimentsparabolic equationintegral equation methoddiffusion coefficientvolatilityEuropean optionstrike price

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Inverse problems for PDEs (35R30) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Initial value problems for second-order parabolic equations (35K15) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32)

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• On the estimation of parameters for linear stochastic differential equations
• IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
• The inverse problem of option pricing
• Stochastic volatility, smile & asymptotics
• The Mathematics of Financial Derivatives
• Mathematics of multidimensional seismic imaging, migration, and inversion

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