Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability (Q4548071)
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scientific article; zbMATH DE number 1786780
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| English | Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability |
scientific article; zbMATH DE number 1786780 |
Statements
Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability (English)
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6 April 2003
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derivative security pricing
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nonlinear partial differential equations
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stochastic optimal control
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implicit function theorem
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0.91829234
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0.9161257
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0.9157381
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0.91099113
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0.9092717
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0.90482646
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0.89683485
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0.89493287
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