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Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem.
Rama Cont
Peter Tankov
Published in:
SIAM J. Control. Optim. (2006)
Keyphrases
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inverse problems
image restoration
regularization parameter
parameter selection
regularization method
payoff functions
information retrieval
probability distribution
markov random field
stochastic processes