A linearization-based solution to an inverse problem in financial markets

DOI10.1016/J.AMC.2006.11.037zbMATH Open1243.60057OpenAlexW2042229578MaRDI QIDQ2372047FDOQ2372047

Authors: Ali Sever 

Publication date: 10 July 2007

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2006.11.037

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zbMATH Keywords

option pricinginverse problemsvolatilitylinearization

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial science and mathematical finance (91G99)

Cites Work

• The inverse problem of option pricing
• A stability estimate of an inverse problem in financial prospection.

Cited In (2)

• A problem of data mining in E-commerce
• A stability estimate of an inverse problem in financial prospection.

Uses Software

• Maple

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