On the nature of ill-posedness of an inverse problem arising in option pricing

DOI10.1088/0266-5611/19/6/006zbMath1086.91028OpenAlexW2052085321MaRDI QIDQ4466444

Publication date: 10 June 2004

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

Full work available at URL: https://semanticscholar.org/paper/a5ecfd05173186c58e3b368b6446c3fb662ed48c

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Particular nonlinear operators (superposition, Hammerstein, Nemytski?, Uryson, etc.) (47H30) Ill-posed problems for PDEs (35R25) Inverse problems for PDEs (35R30) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs with randomness, stochastic partial differential equations (35R60) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32) Numerical methods for ill-posed problems for initial value and initial-boundary value problems involving PDEs (65M30)

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