On the calibration of local jump-diffusion asset price models
type: Item
instance of: scholarly article
title: On the calibration of local jump-diffusion asset price models
zbMATH Open document ID: 1303.91180
published in: Finance and Stochastics
publication date: 2014-12-18T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 35R09
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65J22
zbMATH DE Number: 6381569
zbMATH Keywords: local Lévy model
zbMATH Keywords: jump-diffusion processes
zbMATH Keywords: ill-posed problem
zbMATH Keywords: robust calibration
zbMATH Keywords: inverse problem
zbMATH Keywords: Tikhonov regularization
author: Stefan Kindermann
author: Philipp A. Mayer
MaRDI profile type: Publication
full work available at URL: s00780-011-0159-7
OpenAlex ID: W2061371796
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DOI: 10.1007/S00780-011-0159-7
description: scientific article; zbMATH DE number 6381569