An Inverse Problem for a Parabolic Variational Inequality Arising in Volatility Calibration with American Options (Q5317087): Difference between revisions

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scientific article; zbMATH DE number 2205781
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An Inverse Problem for a Parabolic Variational Inequality Arising in Volatility Calibration with American Options
scientific article; zbMATH DE number 2205781

    Statements

    An Inverse Problem for a Parabolic Variational Inequality Arising in Volatility Calibration with American Options (English)
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    15 September 2005
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    option price
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    exercise price
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    volatility
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    least square method
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    regularization
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    optimality conditions
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    cost function
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    calibration
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