An Inverse Problem for a Parabolic Variational Inequality Arising in Volatility Calibration with American Options
From MaRDI portal
Publication:5317087
DOI10.1137/S0363012903424423zbMath1075.35100MaRDI QIDQ5317087
Publication date: 15 September 2005
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
regularization; optimality conditions; cost function; least square method; calibration; volatility; option price; exercise price
49K40: Sensitivity, stability, well-posedness
49K20: Optimality conditions for problems involving partial differential equations
49J40: Variational inequalities
35K85: Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators
35R30: Inverse problems for PDEs
35R35: Free boundary problems for PDEs
Related Items
Sensitivity analysis of the optimal exercise boundary of the American put option, The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate, Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing, A spectral method for bonds, Adaptive finite element methods for an optimal control problem involving Dirac measures, On the continuity of the time derivative of the solution to the parabolic obstacle problem with variable coefficients, On the regularity of the free boundary in the parabolic obstacle problem. Application to American options, PREPAYMENT OPTION OF A PERPETUAL CORPORATE LOAN: THE IMPACT OF THE FUNDING COSTS, An ℓ 1-Penalty Scheme for the Optimal Control of Elliptic Variational Inequalities, Some aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility
