Recovery of local volatility for financial assets with mean-reverting price processes

DOI10.3934/MCRF.2018026zbMath1418.91457OpenAlexW2890075946WikidataQ129106588 ScholiaQ129106588MaRDI QIDQ2001544

Qihong Chen

Publication date: 3 July 2019

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/mcrf.2018026

zbMATH Keywords

optimal controlinverse problemmean-reverting processrecovery of local volatility

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Control/observation systems governed by partial differential equations (93C20) Applications of optimal control and differential games (49N90) System identification (93B30) Portfolio theory (91G10)

Cites Work

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