Identification of the local speed function in a Lévy model for option pricing

DOI10.1216/JIE-2008-20-2-161zbMath1149.91034OpenAlexW2054511165MaRDI QIDQ935180

Philipp A. Mayer, Heinz W. Engl, Hansjoerg Albrecher, Stefan Kindermann

Publication date: 5 August 2008

Published in: Journal of Integral Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1216/jie-2008-20-2-161

zbMATH Keywords

option pricingTikhonov regularizationLévy modelcalibration method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to equations with nonlinear operators (65J15) Numerical methods for ill-posed problems for integral equations (65R30) Numerical solutions of ill-posed problems in abstract spaces; regularization (65J20)

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