Calibrating the model parameters in pricing using the trust region method
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Publication:2634410
DOI10.1515/JIIP-2013-0078zbMath1331.91196OpenAlexW2562853893MaRDI QIDQ2634410
Liping Wang, Qing-Hua Ma, Zuo-liang Xu
Publication date: 9 February 2016
Published in: Journal of Inverse and Ill-Posed Problems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/jiip-2013-0078
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30) Numerical solutions of ill-posed problems in abstract spaces; regularization (65J20)
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