Calibrating the model parameters in pricing using the trust region method

DOI10.1515/JIIP-2013-0078MaRDI QIDQ2634410zbMATH OpenOpenAlexFDO

Authors Qinghua Ma, Liping Wang, Zuoliang Xu

Publication date 9 February 2016

Published in Journal of Inverse and Ill-posed Problems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/jiip-2013-0078

zbMATH Keywords

option pricingregularizationtrust region method

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30) Numerical solutions of ill-posed problems in abstract spaces; regularization (65J20) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(1)

• A trust-region method applied to parameter identification of a simple prey-predator model

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