An Inverse Problem for a Parabolic Variational Inequality Arising in Volatility Calibration with American Options

DOI10.1137/S0363012903424423zbMath1075.35100OpenAlexW4298006788MaRDI QIDQ5317087

Yves Achdou

Publication date: 15 September 2005

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

Full work available at URL: https://doi.org/10.1137/s0363012903424423

zbMATH Keywords

regularizationoptimality conditionscost functionleast square methodcalibrationvolatilityoption priceexercise price

Mathematics Subject Classification ID

Sensitivity, stability, well-posedness (49K40) Optimality conditions for problems involving partial differential equations (49K20) Variational inequalities (49J40) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Inverse problems for PDEs (35R30) Free boundary problems for PDEs (35R35)

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