On local regularization for an inverse problem of option pricing
نویسندگان
چکیده
منابع مشابه
On maximum entropy regularization for a specific inverse problem of option pricing
We investigate the applicability of the method of maximum entropy regularization (MER) to a specific nonlinear ill-posed inverse problem (SIP) in a purely time-dependent model of option pricing, introduced and analyzed for an L2-setting in [9]. In order to include the identification of volatility functions with a weak pole, we extend the results of [12] and [13], concerning convergence and conv...
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The Black-Scholes formula [6] provides with an elegant and simple method to price financial derivatives under the assumption that the stock price is log-normally distributed. However, the actual distribution of most assets is rarely log-normal, and theoretical prices of options with different strikes generated by the Black-Scholes formula differ from observed market prices. One way to reconcile...
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ژورنال
عنوان ژورنال: Applied Mathematics Letters
سال: 2011
ISSN: 0893-9659
DOI: 10.1016/j.aml.2011.03.007