The inverse volatility problem for European options

MaRDI QIDQ5409191zbMATHFDO

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Publication date 14 April 2014

Full work available at URL http://www.emis.de/journals/EJDE/conf-proc/21/k2/abstr.html

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zbMATH Keywords

European optionconvex functionalinverse volatilityDupire equation

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Sturm-Liouville theory (34B24) Numerical solution of inverse problems involving ordinary differential equations (65L09)

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