Abstract
AbstractWe consider an inverse problem in option pricing with time‐dependent option price and volatility functions over a finite interval. Such problems may serve as benchmark problems for studying the character of ill‐posedness in option pricing and the impact of data smoothness and no arbitrage on solution properties.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
