Identifying the volatility of underlying assets from option prices
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Publication:2709875
DOI10.1088/0266-5611/17/1/311zbMath0997.91024OpenAlexW2017655526MaRDI QIDQ2709875
Publication date: 14 November 2002
Published in: Inverse Problems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/0266-5611/17/1/311
optimal controlboundary value problemBlack-Scholes modelvolatilityoption valueinverse parabolic problemasset price
Derivative securities (option pricing, hedging, etc.) (91G20) Existence theories for optimal control problems involving partial differential equations (49J20)
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