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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2022-08-01
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| Series: | AIMS Mathematics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/math.20221056?viewType=HTML |