Simultaneous identification of volatility and interest rate functions -- a two-parameter regularization approach

DOI10.1553/etna_vol51s99OpenAlexW2937860050WikidataQ128042615 ScholiaQ128042615MaRDI QIDQ2323025

Alois Pichler, Christopher Hofmann, Bernd Hofmann

Publication date: 30 August 2019

Published in: ETNA. Electronic Transactions on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: http://etna.mcs.kent.edu/volumes/2011-2020/vol51/abstract.php?vol=51&pages=99-117

zbMATH Keywords

regularizationinterest ratevolatilitysimultaneous identificationinverse option pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Particular nonlinear operators (superposition, Hammerstein, Nemytski?, Uryson, etc.) (47H30) Numerical solutions of ill-posed problems in abstract spaces; regularization (65J20) Linear operators and ill-posed problems, regularization (47A52)

Related Items (2)

On some inverse problems for the Black-Scholes equation ⋮ Regularization for the inversion of fibre Bragg grating spectra

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