An inverse volatility problem in a degenerate parabolic equation in a bounded domain

An inverse volatility problem in a degenerate parabolic equation in a bounded domain

In this paper, an inverse problem of determining the space-dependent volatility from the observed market prices of options with different strikes is studied. Being different from other inverse volatility problem with classical parabolic equations, we apply the linearization method and introduce some...

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Bibliographic Details
Main Authors: Yilihamujiang Yimamu, Zui-Cha Deng, Liu Yang
Format: Article
Language:English
Published: AIMS Press 2022-08-01
Series:AIMS Mathematics
Subjects:
inverse volatility problem
linearization and variable substitutions
degenerate parabolic equation
optimal control
landweber iteration
Online Access:https://www.aimspress.com/article/doi/10.3934/math.20221056?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/math.20221056?viewType=HTML

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