Convergence of Inverse Volatility Problem Based on Degenerate Parabolic Equation
Based on the theoretical framework of the Black–Scholes model, the convergence of the inverse volatility problem based on the degenerate parabolic equation is studied. Being different from other inverse volatility problems in classical parabolic equations, we introduce some variable substitutions to...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-07-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/10/15/2608 |