Well-posed and ill-posed situations in option pricing problems when the volatility is purely time-dependent

DOI10.1002/pamm.200310495zbMath1354.91149OpenAlexW2065059874MaRDI QIDQ2955293

Torsten Hein, Bernd Hofmann

Publication date: 25 January 2017

Published in: PAMM (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/pamm.200310495

Mathematics Subject Classification ID

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)

Recovering the time-dependent volatility in jump-diffusion models from nonlocal price observations ⋮ Computation of the unknown volatility from integral option price observations in jump-diffusion models

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