Sensitivities in Option Pricing Models
The inverse problem in finance consists of determining the unknown parameters of the pricing equation from the values quoted from the market. We formulate the inverse problem as a minimization problem for an appropriate cost function to minimize the difference between the solution of the model and t...
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Virginia Tech
2014
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| Online Access: | http://hdl.handle.net/10919/28904 http://scholar.lib.vt.edu/theses/available/etd-09082007-155649/ |