Regularization for the inverse problem of finding the purely time-dependent volatility

DOI10.1007/s10013-015-0164-9zbMath1349.91315OpenAlexW1819132399MaRDI QIDQ331596

Nguyen Nhu Lan, Dinh Ngoc Thanh, Dang Duc Trong

Publication date: 27 October 2016

Published in: Vietnam Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10013-015-0164-9

zbMATH Keywords

regularizationcalibrationvolatilityill-posed

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Inverse problems for PDEs (35R30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32)

Cites Work

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