An implementation of Bouchouev's method for a short time calibration of option pricing models

DOI10.1023/A:1026177612385zbMath1089.91017MaRDI QIDQ1417057

Carl Chiarella, Mark Craddock, Nadima El-Hassan

Publication date: 18 December 2003

Published in: Computational Economics (Search for Journal in Brave)

zbMATH Keywords

inverse problems; integral equations; calibration; fundamental solutions of PDE

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

45Q05: Inverse problems for integral equations