Recovery of time-dependent volatility in option pricing model
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Publication:2835442
DOI10.1088/0266-5611/32/11/115010zbMath1371.91191OpenAlexW2525737271MaRDI QIDQ2835442
Benny Y. C. Hon, Zui-Cha Deng, Victor Isakov
Publication date: 2 December 2016
Published in: Inverse Problems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/0266-5611/32/11/115010
Numerical methods (including Monte Carlo methods) (91G60) 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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