Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
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Publication:3427465
DOI10.1137/040616267zbMath1110.49033OpenAlexW4297828793MaRDI QIDQ3427465
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
entropyinverse problemregularizationoption pricingill-posed problemLévy processmodel calibrationjump process
Processes with independent increments; Lévy processes (60G51) Applications of optimal control and differential games (49N90) Stochastic models in economics (91B70) Inverse problems in optimal control (49N45)
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