An Inverse Problem for a Parabolic Variational Inequality Arising in Volatility Calibration with American Options

DOI10.1137/S0363012903424423zbMath1075.35100OpenAlexW4298006788MaRDI QIDQ5317087

Yves Achdou

Publication date: 15 September 2005

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012903424423

zbMATH Keywords

regularizationoptimality conditionscost functionleast square methodcalibrationvolatilityoption priceexercise price

Mathematics Subject Classification ID

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