An inverse European option problem in estimating the time-dependent volatility function with statistical analysis

DOI10.1080/00207720512331338111zbMath1105.91018OpenAlexW2067029238MaRDI QIDQ4672782

Cheng-Hung Huang, Hsi-Mei Chen

Publication date: 3 May 2005

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207720512331338111

Mathematics Subject Classification ID

Related Items

Calibration of the temporally varying volatility and interest rate functions

Uses Software

• IMSL Numerical Libraries

Cites Work

• The Pricing of Options and Corporate Liabilities
• Identifying the volatility of underlying assets from option prices
• An Algorithm for Least-Squares Estimation of Nonlinear Parameters
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
• Investigation of regularization parameters and error estimating in inverse elasticity problems
• The inverse problem of option pricing