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  • Search: subject:"fundamental solutions of PDE"
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Subject
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Calibration 1 Fundamental Solutions of PDE 1 Integral Equations 1 Inverse Problems 1 calibration 1 fundamental solutions of PDE 1 integral equations 1 inverse problems 1
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Online availability
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Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Language
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Undetermined 2
Author
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Chiarella, Carl 2 Craddock, Mark 2 El-Hassan, Nadima 2
Institution
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Society for Computational Economics - SCE 1
Published in...
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Computational Economics 1 Computing in Economics and Finance 2002 1
Source
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RePEc 2
Showing 1 - 2 of 2
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An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models
Chiarella, Carl; Craddock, Mark; El-Hassan, Nadima - In: Computational Economics 22 (2003) 2, pp. 113-138
We analyse the Bouchouev integral equation for the deterministic volatility function in the Black–Scholes option pricing model. We areable to reduce Bouchouev's original triple integral equation to a single integral equation and describe its numerical solution. Moreover we show empirically...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10005701654
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Cover Image
A Short Time Expansion of the Volatility Function For The Calibration of Option Pricing Models.
Chiarella, Carl; Craddock, Mark; El-Hassan, Nadima - Society for Computational Economics - SCE - 2002
Persistent link: https://ebvufind01.dmz1.zbw.eu/10005537686
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