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- W4317395266 abstract "For 1D and 2D Black–Scholes models, we study the problem of simultaneously identifying the time-dependent volatility and interest rate from nonlocal price observations of European options. It is formulated as an inverse coefficient problem: given nonlocal observations of European option prices, find the time-dependent volatility and interest rate such that the theoretical option prices match the observed ones in an optimal way with respect to a prescribed cost functional. We propose a variational equation minimization approach to derive the gradients of the functional. A finite difference formulation of the problems is discussed." @default.
- W4317395266 created "2023-01-19" @default.
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- W4317395266 date "2023-01-01" @default.
- W4317395266 modified "2023-10-18" @default.
- W4317395266 title "Recovering the Time-Dependent Volatility and Interest Rate in European Options from Nonlocal Price Measurements by Adjoint Equation Optimization" @default.
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- W4317395266 doi "https://doi.org/10.1007/978-3-031-20951-2_5" @default.
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