RecordNumber
2258
Author
Lishang, Jiang
Crop_Body
Jiang Lishang and Tao Youshan
Title of Article
Identifying the volatility of underlying assets from option prices
Title Of Journal
Inverse Problems
PublishInfo
INSTITUTE OF PHYSICS PUBLISHING
Publication Year
2001
Volum
17
Page
137-155
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.
URL
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