Recover implied volatility in short-term interest rate model

DOI10.13371/J.CNKI.CHIN.Q.J.M.2017.04.006MaRDI QIDQ4623820zbMATH OpenFDO

Authors Fangfang Zhao, Zuoliang Xu

Publication date 22 February 2019

Full work available at URL https://doi.org/10.13371/J.CNKI.CHIN.Q.J.M.2017.04.006

zbMATH Keywords

implied volatilityinverse problemlinearization

Mathematics Subject Classification ID

Inverse problems for integral equations (45Q05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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• An inverse problem of zero-coupon bond pricing
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