On some inverse problems for the Black-Scholes equation

Keywords: Black-Scholes equation, inverse problem, volatility coefficient

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.

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How to Cite
Pyatkov, S. and Orlova, D. (2021) “On some inverse problems for the Black-Scholes equation”, Mathematical notes of NEFU, 28(3), pp. 45-69. doi: https://doi.org/10.25587/SVFU.2021.27.57.004.
Section
Mathematics