Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem (Q3427465)
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scientific article; zbMATH DE number 5134899
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| English | Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem |
scientific article; zbMATH DE number 5134899 |
Statements
Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem (English)
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20 March 2007
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inverse problem
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entropy
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Lévy process
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jump process
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model calibration
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option pricing
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regularization
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ill-posed problem
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0.8454096913337708
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0.8334696292877197
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0.8278394341468811
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0.8169763684272766
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0.8152983784675598
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