An inverse parabolic problem arising in finance;Sur un problème parabolique inverse intervenant en finance

Comptes Rendus de l'Academie des Sciences - Series I: Mathematics

Volumn 331, Issue 12, 2000, Pages 965-969

  Berestycki, Henri ^a   Busca, Jérôme ^b   Florent, Igor ^c  

^a SORBONNE UNIVERSITÉ   (France)

^b UNIVERSITÉ DE TOURS   (France)

^c DMTC   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0042227814     PISSN: 07644442     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0764-4442(00)01749-3     Document Type: Article

References (9)

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4. [4] Bouchouev I., Isakov V., Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets, Inverse Problems 15 (1999) R95-R116.
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6. [6] Dupire B., Pricing with a smile, Risk Magazine 7 (1) (1994) 18-20.
7. [7] Friedman A., Partial Differential Equations of Parabolic Type, Prentice-Hall, Englewood Cliffs, NJ, 1964.
8. [8] Lagnado R., Osher S., A technique for calibrating derivative security pricing models: numerical solution of an inverse problem, J. of Comput. Finance 1 (1) (1997) 13-25.
9. [9] Varadhan S.R.S., On the behavior of the fundamental solution of the heat equation with variable coefficients, Commun. Pure Appl. Math. 20 (1967) 431-455.