An Inverse Problem for a Parabolic Variational Inequality Arising in Volatility Calibration with American Options (Q5317087)
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scientific article; zbMATH DE number 2205781
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An Inverse Problem for a Parabolic Variational Inequality Arising in Volatility Calibration with American Options |
scientific article; zbMATH DE number 2205781 |
Statements
An Inverse Problem for a Parabolic Variational Inequality Arising in Volatility Calibration with American Options (English)
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15 September 2005
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option price
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exercise price
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volatility
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least square method
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regularization
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optimality conditions
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cost function
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calibration
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