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- W287312879 abstract "This paper investigates the inverse problem of a stochastic volatility based on the Black-Scholes option pricing model. In order to overcome the ill-posedness of reconstructing a stochastic volatility, a regularized-Gauss-Newton method is applied to solve the inverse problem. Numerical examples show that the reconstruction algorithm is convergence and stable." @default.
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- W287312879 date "2013-11-30" @default.
- W287312879 modified "2023-09-23" @default.
- W287312879 title "Solving the Inverse Problem of Option Pricing Based on a Black-Scholes Model Using a Regularized-Gauss-Newton Method" @default.
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