Parameters identification for an inverse problem arising from a binary option using a Bayesian inference approach

DOI10.1016/j.rinam.2022.100353MaRDI QIDQ2690099

Yanyan Li

Publication date: 15 March 2023

Published in: Results in Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2205.11012

zbMATH Keywords

inverse problem; option pricing; Bayesian inference approach

Mathematics Subject Classification ID

91Gxx: Actuarial science and mathematical finance

35Rxx: Miscellaneous topics in partial differential equations

65Cxx: Probabilistic methods, stochastic differential equations