A perturbative approach for reconstructing diffusion coefficients

DOI10.1016/S0096-3003(03)00684-2MaRDI QIDQ1827346zbMATH OpenOpenAlexFDO

Authors Minaya Villasana, Henryk Gzyl

Publication date 6 August 2004

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0096-3003(03)00684-2

zbMATH Keywords

inverse problemnumerical experimentsvolatilityEuropean optionparabolic equationintegral equation methoddiffusion coefficientstrike price

Mathematics Subject Classification ID

Initial value problems for second-order parabolic equations (35K15) Inverse problems for PDEs (35R30) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32) Microeconomic theory (price theory and economic markets) (91B24) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Recommendations

• Recovery of volatility coefficient by linearization
• scientific article; zbMATH DE number 2030292
• Recovery of time dependent volatility coefficient by linearization
• Calibration of the local volatility in a trinomial tree using Tikhonov regularization
• On uniqueness and reconstruction of a nonlinear diffusion term in a parabolic equation

Cites work

• scientific article; zbMATH DE number 3781859 (Why is no real title available?)
• scientific article; zbMATH DE number 1861858 (Why is no real title available?)
• IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY
• Mathematics of multidimensional seismic imaging, migration, and inversion
• On the estimation of parameters for linear stochastic differential equations
• Stochastic volatility, smile & asymptotics
• The Mathematics of Financial Derivatives
• The inverse problem of option pricing
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets

Cited in

(4)

• Reconstruction of Potential Function for Diffusion Operator
• A numerical correction of the M1-model in the diffusive limit
• Recovering a large number of diffusion constants in a parabolic equation from energy measurements
• Reconstruction of the diffusion equation with singular coefficients for two spectra

This page was built for publication: A perturbative approach for reconstructing diffusion coefficients

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1827346)