Convergence rates results for recovering the volatility term structure including at-the-money options
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Publication:5191062
DOI10.1515/JIIP.2009.024zbMath1177.35251MaRDI QIDQ5191062
Publication date: 28 July 2009
Published in: Journal of Inverse and Ill-posed Problems (Search for Journal in Brave)
regularization; Black-Scholes model; parabolic equations; ill-posed problem; inverse problem of option pricing; identification of local volatilities
35R30: Inverse problems for PDEs
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
35R60: PDEs with randomness, stochastic partial differential equations
91A24: Positional games (pursuit and evasion, etc.)
Cites Work
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