scientific article; zbMATH DE number 6283644

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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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)

Cited In (4)

• An inverse problem of determining the implied volatility in option pricing
• The inverse volatility problem for American options
• The inverse problem of option pricing
• Title not available (Why is that?)

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