scientific article; zbMATH DE number 5908063

MaRDI QIDQ3008296zbMATH OpenFDO

Authors Qinghua Ma, Chang Jin, Zuoliang Xu

Publication date 15 June 2011

Full work available at URL http://ebooks.worldscinet.com/ISBN/9789814327862/9789814327862_0014.html

zbMATH Keywords

ill-posedoption pricing problemsprojective gradient methodsregularizationvolatility function

Mathematics Subject Classification ID

Numerical solutions to equations with nonlinear operators (65J15) Numerical solutions of ill-posed problems in abstract spaces; regularization (65J20) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• The adjoint method for the inverse problem of option pricing
• On local regularization for an inverse problem of option pricing
• Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
• On the nature of ill-posedness of an inverse problem arising in option pricing
• Regularisation of inverse problems and its application to the calibration of option price models
• Some analysis of Tikhonov regularization for the inverse problem of option pricing in the price-dependent case
• On Maximum Entropy Regularization for a Specific Inverse Problem of Option Pricing
• On nonlinear ill-posed inverse problems with applications to pricing of defaultable bonds and option pricing
• The deep parametric PDE method and applications to option pricing
• An inverse finite element method for pricing American options

Cited in

(7)

• The adjoint method for the inverse problem of option pricing
• Some analysis of Tikhonov regularization for the inverse problem of option pricing in the price-dependent case
• Recovery of the local volatility function using regularization and a gradient projection method
• Inverse problems in finance
• Ill-posedness versus ill-conditioning–an example from inverse option pricing
• On the nature of ill-posedness of an inverse problem arising in option pricing
• On local regularization for an inverse problem of option pricing

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