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

Published in:	AIMS Mathematics
Main Authors:	Yilihamujiang Yimamu, Zui-Cha Deng, Liu Yang
Format:	Article
Language:	English
Published:	AIMS Press 2022-08-01
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