An inverse problem for A parabolic variational inequality arising in volatility calibration with american options

SIAM Journal on Control and Optimization

Volumn 43, Issue 5, 2005, Pages 1583-1615

  Achdou, Yves ^a,b  

^a UNIVERSITÉ PARIS DESCARTES   (France)

^b UNIVERSITÉ PIERRE ET MARIE CURIE   (France)

Author keywords

American options; Calibration in finance; Inverse problems; Variational inequalities

Indexed keywords

BOUNDARY CONDITIONS; COSTS; DIFFERENTIATION (CALCULUS); FUNCTIONS; LEAST SQUARES APPROXIMATIONS; PROBLEM SOLVING; SENSITIVITY ANALYSIS; VAPORIZATION; VARIATIONAL TECHNIQUES;

AMERICAN OPTIONS; CALIBRATION IN FINANCE; PRICE; VARIATIONAL INEQUALITIES;

INVERSE PROBLEMS;

EID: 26444517448     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012903424423     Document Type: Article

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