An inverse problem arisen in the zero-coupon bond pricing
type: Item
instance of: scholarly article
title: An inverse problem arisen in the zero-coupon bond pricing
zbMATH Open document ID: 1189.35372
author: Zui-Cha Deng
author: Jianning Yu
author: Liu Yang
published in: Nonlinear Analysis. Real World Applications
publication date: 2010-06-03T00:00:00Z
Mathematics Subject Classification ID: 35R30
Mathematics Subject Classification ID: 35R60
Mathematics Subject Classification ID: 60H15
Mathematics Subject Classification ID: 49J20
Mathematics Subject Classification ID: 35Q93
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5716702
zbMATH Keywords: inverse problem
zbMATH Keywords: zero-coupon bond
zbMATH Keywords: market price of risk
zbMATH Keywords: optimal control
zbMATH Keywords: existence
zbMATH Keywords: uniqueness
zbMATH Keywords: stability
MaRDI profile type: Publication
full work available at URL: j.nonrwa.2009.02.011
OpenAlex ID: W2053486313
cites work: Q4794126
cites work: Q4406990
cites work: Q4442576
cites work: Q4895893
cites work: Inverse problems for partial differential equations
cites work: Q3965502
cites work: Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
cites work: Identifying the volatility of underlying assets from option prices
cites work: A new well-posed algorithm to recover implied local volatility
cites work: An inverse problem of determining the implied volatility in option pricing
cites work: Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
cites work: The inverse problem of option pricing
cites work: Calibration of the local volatility in a trinomial tree using Tikhonov regularization
cites work: On the nature of ill-posedness of an inverse problem arising in option pricing
cites work: Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
cites work: Numerical procedures for the determination of an unknown coefficient in semi-linear parabolic differential equations
cites work: An inverse problem of finding a parameter in a semi-linear heat equation
cites work: Determination of a control parameter in a one-dimensional parabolic equation using the method of radial basis functions
cites work: An inverse problem of finding a source parameter in a semilinear parabolic equation
cites work: Finding a control parameter in one-dimensional parabolic equations
cites work: Parameter determination in a partial differential equation from the overspecified data
cites work: Identification of a time-dependent coefficient in a partial differential equation subject to an extra measurement
cites work: Determination of a control function in three-dimensional parabolic equations
cites work: Fourth-order techniques for identifying a control parameter in the parabolic equations
cites work: Determination of a control parameter in the two-dimensional diffusion equation
cites work: Optimization method for an evolutional type inverse heat conduction problem
cites work: Identifying the coefficient of first-order in parabolic equation from final measurement data
cites work: An inverse problem of identifying the coefficient of parabolic equation
cites work: Q4073917
cites work: Solving an inverse parabolic problem by optimization from final measurement data
DOI: 10.1016/J.NONRWA.2009.02.011
description: scientific article; zbMATH DE number 5716702