Bayesian inference approach to inverse problems in a financial mathematical model

DOI10.1080/00207160.2019.1671978zbMath1485.91252OpenAlexW2976709899WikidataQ127248364 ScholiaQ127248364MaRDI QIDQ5031152

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Publication date: 18 February 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2019.1671978

zbMATH Keywords

inverse problemoption pricingBayesian inference approach

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Bayesian inference (62F15) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32)

Related Items (2)

Parameter estimation for time-fractional Black-Scholes equation with S\&P 500 index option ⋮ Parameters identification for an inverse problem arising from a binary option using a Bayesian inference approach

Cites Work

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• Parameter identification problem for a parabolic equation – application to the Black–Scholes option pricing model
• A method for the solution of certain non-linear problems in least squares

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