Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability (Q4548071): Difference between revisions

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Latest revision as of 15:14, 4 June 2024

scientific article; zbMATH DE number 1786780
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English
Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability
scientific article; zbMATH DE number 1786780

    Statements

    Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability (English)
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    6 April 2003
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    derivative security pricing
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    nonlinear partial differential equations
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    stochastic optimal control
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    implicit function theorem
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