Inverse parabolic problem with the Heaviside function arising in finance
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Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02) Second-order parabolic equations (35K10) PDEs in connection with statistics (35Q62) Inverse problems for PDEs (35R30) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32) Computational methods for problems pertaining to game theory, economics, and finance (91-08)
Cites work
- Application of microlocal analysis to an inverse problem arising from financial markets
- Equation of state calculations by fast computing machines
- scientific article; zbMATH DE number 1314883 (Why is no real title available?)
- Inverse problems for partial differential equations
- Monte Carlo sampling methods using Markov chains and their applications
- On decoupling of volatility smile and term structure in inverse option pricing
- Reconstruction of local volatility for the binary option model
- Recovery of time dependent volatility coefficient by linearization
- Recovery of time-dependent volatility in option pricing model
- Recovery of volatility coefficient by linearization
- Statistical and computational inverse problems.
- The inverse problem of option pricing
- Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
- Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
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