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RecordNumber
2258
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Author
Lishang, Jiang
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Crop_Body
Jiang Lishang and Tao Youshan
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Title of Article
Identifying the volatility of underlying assets from option prices
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Title Of Journal
Inverse Problems
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PublishInfo
INSTITUTE OF PHYSICS PUBLISHING
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Publication Year
2001
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Volum
17
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Page
137-155
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Abstract
In this paper, we use an optimal control framework to determine implied volatility and make a rigorous mathematical analysis of this inverse problem. We also prove the approximate optimal solutions converge to the appropriate solutions for the original problem. Being different from ordinary parameter identification problems, our problem is to identify the coefficient of the secondorder partial derivative in the equation with the PDE being non-divergent.
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URL
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Link To Document :
