Calibrating local volatility in inverse option pricing using the Levenberg–Marquardt method
DOI10.1515/jiip.2010.023zbMath1279.91161OpenAlexW2018523891MaRDI QIDQ2874459
Mohamed Majdi Lakhal, Alfred K. Louis, Aref Lakhal
Publication date: 30 January 2014
Published in: jiip (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/jiip.2010.023
Numerical methods (including Monte Carlo methods) (91G60) Numerical mathematical programming methods (65K05) Numerical computation of solutions to systems of equations (65H10) Inverse problems for PDEs (35R30) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Related Items (2)
Cites Work
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