Computational recovery of time-dependent volatility from integral observations in option pricing
Author:
Funder
Bulgarian National Science Fund
Publisher
Elsevier BV
Subject
Modeling and Simulation,General Computer Science,Theoretical Computer Science
Reference44 articles.
1. Computational Methods for Option Pricing;Achdou,2005
2. Calibrating volatility surfaces via relative entropy minimization;Avellaneda;Appl. Math. Finance,1997
3. Inverse problems in finance, recent developments in computational finance;Baumeister,2013
4. The pricing of options and corporate liabilities;Black;J. Polit. Econ.,1973
5. The inverse problem of option pricing;Bouchouev;Inv. Probl.,1997
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