scientific article; zbMATH DE number 2030292

zbMath1057.35091MaRDI QIDQ4442538

Victor Isakov

Publication date: 2003

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

uniquenessoption pricingBlack-Scholes partial differential equationvolatility identification

Mathematics Subject Classification ID

Inverse problems for PDEs (35R30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (4)

On some inverse problems for the Black-Scholes equation ⋮ The adjoint method for the inverse problem of option pricing ⋮ Reconstruction of local volatility for the binary option model ⋮ Numerical techniques for determining implied volatility in option pricing

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