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- W2538705178 abstract "The reconstruction of a volatility based on a Black-Scholes option pricing model is ill-posed. In order to overcome the ill-posedness, a homotopy perturbation inversion method is designed to solve the inverse problem. The proposed method is a modified version of the Landweber method. The reconstruction of a volatility is a nonlinear problem which is needed to be linearized. Hence, numerical experiments consist of the reconstruction of a policy parameter based on a Todaro model which is a linear inverse problem and the reconstruction of a volatility based on a Black-Scholes option pricing model in order to test the performance of the proposed method. Numerical examples show that the proposed method is more accurate and faster than the Landweber method." @default.
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- W2538705178 date "2016-09-30" @default.
- W2538705178 modified "2023-09-24" @default.
- W2538705178 title "Reconstruction of a Volatility Based on the Black-Scholes Option Pricing Model Using Homotopy Perturbation Inversion Method" @default.
- W2538705178 doi "https://doi.org/10.14257/ijhit.2016.9.9.12" @default.
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