On decoupling of volatility smile and term structure in inverse option pricing

  title={On decoupling of volatility smile and term structure in inverse option pricing},
  author={Herbert Egger and Torsten Hein and Bernd Hofmann},
  journal={Inverse Problems},
Correct pricing of options and other financial derivatives is of great importance to financial markets and one of the key subjects of mathematical finance. Usually, parameters specifying the underlying stochastic model are not directly observable, but have to be determined indirectly from observable quantities. The identification of local volatility surfaces from market data of European vanilla options is one very important example of this type. As with many other parameter identification… 

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