An inverse problem of reconstructing option drift rate from market observation data

An inverse problem of reconstructing option drift rate from market observation data

Abstract Drift rate is a very important parameter in the evolution of stock price, which has significant impact on the corresponding option pricing. This paper deals with an inverse problem of recovering the drift function by current market prices of options. Different from the usual inverse volatil...

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Bibliographic Details
Main Authors: Z. C. Deng, X. Y. Zhao, L. Yang
Format: Article
Language:English
Published: SpringerOpen 2021-03-01
Series:Boundary Value Problems
Subjects:
Drift rate
Inverse problem
Optimal control
Existence
Uniqueness
Numerical results
Online Access:https://doi.org/10.1186/s13661-021-01506-9

Internet

https://doi.org/10.1186/s13661-021-01506-9

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