Computational recovery of time-dependent volatility from integral observations in option pricing

The Pricing of Options and Corporate Liabilities

Fischer Black, Myron S. Scholes · Journal of Political Economy · 1973 · 29.4K citations

Business, Economics, Finance +13

Computational Methods for Option Pricing

Yves Achdou, Olivier Pironneau · Society for Industrial and Applied Mathematics eBooks · 2005 · 361 citations

Business, Economics, Finance +14

Calibrating volatility surfaces via relative-entropy minimization

Marco Avellaneda, Craig A. Friedman, Richard B. Holmes et al. · Applied Mathematical Finance · 1997 · 263 citations

Business, Mathematics, Financial Economics +16

Far Field Boundary Conditions for Black--Scholes Equations

Raul Kangro, R. A. Nicolaides · SIAM Journal on Numerical Analysis · 2000 · 249 citations

Computing, Finance, Mathematics +14

Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets

Ilia Bouchouev, Victor Isakov · Inverse Problems · 1999 · 174 citations

Business, Finance, Mathematics +16