On Maximum Entropy Regularization for a Specific Inverse Problem of Option Pricing

DOI10.1163/1569394053583739zbMath1086.91029OpenAlexW4253669103MaRDI QIDQ4663926

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Publication date: 4 April 2005

Full work available at URL: https://semanticscholar.org/paper/50b7fe47e1a4a546356444dda703cba6f6860138

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32)

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