Well-posed and ill-posed situations in option pricing problems when the volatility is purely time-dependent
DOI10.1002/PAMM.200310495zbMATH Open1354.91149OpenAlexW2065059874MaRDI QIDQ2955293FDOQ2955293
Authors: Bernd Hofmann, Torsten Hein 
Publication date: 25 January 2017
Published in: PAMM (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/pamm.200310495
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Cites Work
Cited In (6)
- Exact and approximate solutions for options with time-dependent stochastic volatility
- Ill-posedness versus ill-conditioning–an example from inverse option pricing
- Recovering the time-dependent volatility in jump-diffusion models from nonlocal price observations
- On the nature of ill-posedness of an inverse problem arising in option pricing
- Forecasting stock options prices via the solution of an ill-posed problem for the Black–Scholes equation
- Computation of the unknown volatility from integral option price observations in jump-diffusion models
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