Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem

DOI10.1137/040616267zbMath1110.49033OpenAlexW4297828793MaRDI QIDQ3427465

Rama Cont, Peter Tankov

Publication date: 20 March 2007

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/040616267

zbMATH Keywords

entropyinverse problemregularizationoption pricingill-posed problemLévy processmodel calibrationjump process

Mathematics Subject Classification ID

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