Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability (Q4548071)
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scientific article; zbMATH DE number 1786780
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability |
scientific article; zbMATH DE number 1786780 |
Statements
Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability (English)
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6 April 2003
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derivative security pricing
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nonlinear partial differential equations
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stochastic optimal control
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implicit function theorem
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