Volatility calibration with American options

DOI10.4310/MAA.2004.V11.N4.A6MaRDI QIDQ2503207zbMATH OpenFDO

Authors Govindaraj Indragoby, Olivier Pironneau, Yves Achdou

Publication date 14 September 2006

Published in Methods and Applications of Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4310/MAA.2004.V11.N4.A6

zbMATH Keywords

American options, variational inequalities, calibration of volatility, inverse prob- lems, optimality conditions, finite element methods, automatic differentiation

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Financial applications of other theories (91G80)

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