Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
From MaRDI portal
Publication:3427465
DOI10.1137/040616267zbMath1110.49033MaRDI QIDQ3427465
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
entropy; inverse problem; regularization; option pricing; ill-posed problem; Lévy process; model calibration; jump process
60G51: Processes with independent increments; Lévy processes
49N90: Applications of optimal control and differential games
91B70: Stochastic models in economics
49N45: Inverse problems in optimal control
Related Items
Characteristic functions and option valuation in a Markov chain market, Spectral estimation of the fractional order of a Lévy process, Spectral calibration of exponential Lévy models, Identification of the local speed function in a Lévy model for option pricing, Methods for the rapid solution of the pricing PIDEs in exponential and Merton models, Subordination, self-similarity, and option pricing, Lévy density estimation via information projection onto wavelet subspaces, Nonparametric inference for discretely sampled Lévy processes, On convergence to the exponential utility problem, An Introduction to Particle Methods with Financial Applications, CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES, Ill-posedness versus ill-conditioning–an example from inverse option pricing, Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process, Some aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility, A multivariate Lévy process model with linear correlation
