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scientific article; zbMATH DE number 6264668 - MaRDI portal

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zbMath1292.91177MaRDI QIDQ5400555

Yu-Fei Yang, Shou-Lei Wang

Publication date: 3 March 2014

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

zbMATH Keywords

Black-Scholes model Tikhonov regularization total variation regularization European option

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (2)

Identifying the implied volatility using the total variation regularization ⋮ Fast reconstruction of time-dependent market volatility for European options

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