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On the nature of ill-posedness of an inverse problem arising in option pricing

โœ Scribed by Hein, Torsten; Hofmann, Bernd

Book ID
125439312
Publisher
Institute of Physics
Year
2003
Tongue
English
Weight
241 KB
Volume
19
Category
Article
ISSN
0266-5611

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๐Ÿ“œ SIMILAR VOLUMES

On local regularization for an inverse p
On local regularization for an inverse problem of option pricing
โœ Cynthia Lester; Xiaoyue Luo; Ruya Huang ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 267 KB

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.