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On local regularization for an inverse problem of option pricing

โœ Scribed by Cynthia Lester; Xiaoyue Luo; Ruya Huang

Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
267 KB
Volume
24
Category
Article
ISSN
0893-9659

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โœฆ Synopsis

We explore the theoretical and numerical application of local regularization methods to an ill-posed inverse problem arising from financial option pricing. In addition, we provide an algorithm and show results through numerical examples.

๐Ÿ“œ SIMILAR VOLUMES

Combined one-dimensional inverse problem
Combined one-dimensional inverse problems for Maxwell's equation and an equation of the continual filtration theory
โœ Kh.Kh. Imomnazarov ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 290 KB

Combined one-dimensional inverse problems for Maxwell's equation and an equation of the continual filtration theory are considered. Uniqueness of the solutions of the problems considered is proved. (~) 1998 Elsevier Science Ltd. All rights reserved.