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

DOI10.1137/S0363012903424423zbMath1075.35100MaRDI 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

regularization; optimality conditions; cost function; least square method; calibration; volatility; option price; exercise price

Mathematics Subject Classification ID

49K40: Sensitivity, stability, well-posedness

49K20: Optimality conditions for problems involving partial differential equations

49J40: Variational inequalities

35K85: Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators

35R30: Inverse problems for PDEs

35R35: Free boundary problems for PDEs

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