Title of article :
On local regularization for an inverse problem of option pricing
Author/Authors :
Lester، نويسنده , , Cynthia and Luo، نويسنده , , Xiaoyue and Huang، نويسنده , , Ruya، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2011
Abstract :
We explore the theoretical and numerical application of local regularization methods to an ill-posed inverse problem arising from financial option pricing. In addition, we provide an algorithm and show results through numerical examples.
Keywords :
Option prices , Local regularization , Inverse problem
Journal title :
Applied Mathematics Letters
Journal title :
Applied Mathematics Letters
