Bayesian inference approach to inverse problems in a financial mathematical model-Reference-Cited by-同舟云学术

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Bayesian inference approach to inverse problems in a financial mathematical model

Published:2019-10-08 Issue:10 Volume:97 Page:1967-1981
ISSN:0020-7160
Container-title:International Journal of Computer Mathematics
language:en
Short-container-title:International Journal of Computer Mathematics

Author:

Ota Yasushi¹^ORCID,Jiang Yu²^ORCID,Nakamura Gen³,Uesaka Masaaki³^ORCID

Affiliation:

1. Department of Management, Okayama University of Science, Okayama, Japan

2. School of Mathematics, Shanghai University of Finance and Economics, Shanghai, People's Republic of China

3. Department of Mathematics, Hokkaido University, Hokkaido, Japan

Funder

National Natural Science Foundation of China

Japan Society for the Promotion of Science

Publisher

Informa UK Limited

Subject

Applied Mathematics,Computational Theory and Mathematics,Computer Science Applications

Link

https://www.tandfonline.com/doi/pdf/10.1080/00207160.2019.1671978

Reference28 articles.

1. The Pricing of Options and Corporate Liabilities

2. Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets

3. Recovery of volatility coefficient by linearization

4. Application of microlocal analysis to an inverse problem arising from financial markets

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Parameter estimation for time-fractional Black-Scholes equation with S &P 500 index option;Numerical Algorithms;2023-06-27

2. Parameters identification for an inverse problem arising from a binary option using a Bayesian inference approach;Results in Applied Mathematics;2023-02

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