Inverse problems in finance
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Black-Scholes modelcalibrationDupire's equationgradient methodsill-posednessimplied volatilityinverse problemsKaczmarz methodNewton's methodvanilla options
Inverse problems for PDEs (35R30) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)
Recommendations
- Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
- On the nature of ill-posedness of an inverse problem arising in option pricing
- On decoupling of volatility smile and term structure in inverse option pricing
- Regularisation of inverse problems and its application to the calibration of option price models
- scientific article; zbMATH DE number 5908063
Cited in
(26)- A stability estimate of an inverse problem in financial prospection.
- Financial inverse problem and reconstruction of infinitely divisible distributions with Gaussian component
- Inverse problem stability of a continuous-in-time financial model
- An inverse volatility problem of financial products linked with gold price
- Simultaneous identification of volatility and interest rate functions -- a two-parameter regularization approach
- A linearization-based solution to an inverse problem in financial markets
- Recovery of the local volatility function using regularization and a gradient projection method
- Calibrating local volatility in inverse option pricing using the Levenberg-Marquardt method
- VOLATILITY SMILE BY MULTILEVEL LEAST SQUARE
- Valuation of volatility derivatives as an inverse problem
- Ill-posedness versus ill-conditioning–an example from inverse option pricing
- Time reversal invariance in finance
- Regularisation of inverse problems and its application to the calibration of option price models
- Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
- Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
- scientific article; zbMATH DE number 2030325 (Why is no real title available?)
- On the nature of ill-posedness of an inverse problem arising in option pricing
- Inference on sets in finance
- scientific article; zbMATH DE number 7024036 (Why is no real title available?)
- An inverse parabolic problem arising in finance
- A PDE method for estimation of implied volatility
- Bayesian inference approach to inverse problems in a financial mathematical model
- Numerical identification of time-dependent volatility in European options with two-stage regime-switching
- Reconstructing local volatility using total variation
- On local regularization for an inverse problem of option pricing
- On decoupling of volatility smile and term structure in inverse option pricing
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