TY - JOUR
AU - Sergey Pyatkov
AU - Daria Orlova
PY - 2021/10/07
Y2 - 2022/01/17
TI - On some inverse problems for the Black-Scholes equation
JF - Mathematical notes of NEFU
JA - Math. notes NEFU
VL - 28
IS - 3
SE - Mathematics
DO - https://doi.org/10.25587/SVFU.2021.27.57.004
UR - https://mzsvfu.ru/index.php/mz/article/view/on-some-inverse-problems-for-the-black-scholes-equation
AB - 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.
ER -