Inverse problems in finance

DOI10.1142/9789814436434_0003zbMath1282.91372OpenAlexW2494203137MaRDI QIDQ2849671

Johann Baumeister

Publication date: 24 September 2013

Published in: Recent Developments in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789814436434_0003

zbMATH Keywords

Newton's methodinverse problemsgradient methodsBlack-Scholes modelcalibrationill-posednessimplied volatilityKaczmarz methodvanilla optionsDupire's equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Inverse problems for PDEs (35R30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

Related Items (2)

Numerical Identification of Time-Dependent Volatility in European Options with Two-Stage Regime-Switching ⋮ A PDE method for estimation of implied volatility

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