The inverse volatility problem for European options
zbMATH Open1291.91233MaRDI QIDQ5409191FDOQ5409191
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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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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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- The inverse volatility problem for American options
- Financial inverse problem and reconstruction of infinitely divisible distributions with Gaussian component
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- Valuation of volatility derivatives as an inverse problem
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