Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem

DOI10.1137/040616267zbMath1110.49033MaRDI QIDQ3427465

Rama Cont, Peter Tankov

Publication date: 20 March 2007

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/040616267

zbMATH Keywords

entropy; inverse problem; regularization; option pricing; ill-posed problem; Lévy process; model calibration; jump process

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

49N90: Applications of optimal control and differential games

91B70: Stochastic models in economics

49N45: Inverse problems in optimal control

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