On local regularization for an inverse problem of option pricing (Q548392): Difference between revisions

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+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
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+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+M32
@@ Property / Mathematics Subject Classification ID: 65M32 / rank @@
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@@ Property / zbMATH DE Number @@
+5914128
@@ Property / zbMATH DE Number: 5914128 / rank @@
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@@ Property / zbMATH Keywords @@
+option prices
@@ Property / zbMATH Keywords: option prices / rank @@
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@@ Property / zbMATH Keywords @@
+local regularization
@@ Property / zbMATH Keywords: local regularization / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+inverse problem
@@ Property / zbMATH Keywords: inverse problem / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.aml.2011.03.007
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@@ Property / OpenAlex ID @@
+W2070488385
@@ Property / OpenAlex ID: W2070488385 / rank @@
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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@@ Property / cites work @@
+Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
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@@ Property / cites work @@
+On decoupling of volatility smile and term structure in inverse option pricing
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@@ Property / cites work @@
+On the nature of ill-posedness of an inverse problem arising in option pricing
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@@ Property / cites work @@
+On Maximum Entropy Regularization for a Specific Inverse Problem of Option Pricing
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@@ Property / cites work @@
+An inverse problem of determining the implied volatility in option pricing
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@@ Property / cites work @@
+Identifying the volatility of underlying assets from option prices
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@@ Property / cites work @@
+Q4349551
@@ Property / cites work: Q4349551 / rank @@
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@@ Property / cites work @@
+Full convergence of sequential local regularization methods for Volterra inverse problems
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@@ links / mardi / name / links / mardi / name @@
+Publication:548392