Recovery of time-dependent volatility in option pricing model

DOI10.1088/0266-5611/32/11/115010zbMath1371.91191OpenAlexW2525737271MaRDI QIDQ2835442

Benny Y. C. Hon, Zui-Cha Deng, Victor Isakov

Publication date: 2 December 2016

Published in: Inverse Problems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/0266-5611/32/11/115010

zbMATH Keywords

inverse parabolic probleminverse option pricingnumerical integral equations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32)

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