Fast reconstruction of time-dependent market volatility for European options
DOI10.1007/s40314-021-01422-9zbMath1473.91031OpenAlexW3125300528MaRDI QIDQ2027727
Slavi G. Georgiev, Lubin G. Vulkov
Publication date: 28 May 2021
Published in: Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40314-021-01422-9
Numerical methods (including Monte Carlo methods) (91G60) Numerical optimization and variational techniques (65K10) Inverse problems for PDEs (35R30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32)
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