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Mathematics
On some inverse problems for the Black–Scholes equation
S. G. Pyatkov, D. S. Orlova Yugra State University, 16 Chekhov Street, Khanty-Mansiysk 628011, Russia
Abstract:
We consider the inverse problem of recovering the volatility coefficient depending on the spatial variable with given additional information in the form of conditions of partial final overdetermination. Existence and uniqueness theorems for solutions to this problem are proven, the numerical algorithm is developed, and the results of numerical experiments are presented.
Keywords:
Black–Scholes equation, inverse problem, volatility coefficient.
Received: 31.03.2021 Revised: 19.05.2021 Accepted: 26.08.2021
Citation:
S. G. Pyatkov, D. S. Orlova, “On some inverse problems for the Black–Scholes equation”, Mathematical notes of NEFU, 28:3 (2021), 45–69
Linking options:
https://www.mathnet.ru/eng/svfu325 https://www.mathnet.ru/eng/svfu/v28/i3/p45
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Statistics & downloads: |
Abstract page: | 98 | Full-text PDF : | 91 |
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