An Inverse Problem for a Parabolic Variational Inequality Arising in Volatility Calibration with American Options.
Yves AchdouPublished in: SIAM J. Control. Optim. (2005)
Keyphrases
- variational inequalities
- sensitivity analysis
- variational inequality problems
- complementarity problems
- camera calibration
- convex sets
- hilbert spaces
- primal dual
- fixed point
- stock price
- stock market
- set valued
- traffic assignment
- nash equilibrium
- newton method
- boundary conditions
- central catadioptric
- lipschitz continuity
- boundary value problem
- multi view
- network equilibrium model
- image processing
- hilbert space
- camera parameters
- markov random field
- dynamic programming