Geodesic
On some inverse problems for the Black–Scholes equation
Matematičeskie zametki SVFU, Tome 28 (2021) no. 3, pp. 45-69 Cet article a éte moissonné depuis la source Math-Net.Ru

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We consider the inverse problem of recovering the volatility coefficient depending on the spatial variable with given additional information in the form of conditions of partial final overdetermination. Existence and uniqueness theorems for solutions to this problem are proven, the numerical algorithm is developed, and the results of numerical experiments are presented.
Keywords: Black–Scholes equation, inverse problem, volatility coefficient. 
@article{SVFU_2021_28_3_a3,
     author = {S. G. Pyatkov and D. S. Orlova},
     title = {On some inverse problems for the {Black{\textendash}Scholes} equation},
     journal = {Matemati\v{c}eskie zametki SVFU},
     pages = {45--69},
     year = {2021},
     volume = {28},
     number = {3},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/SVFU_2021_28_3_a3/}
}
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S. G. Pyatkov; D. S. Orlova. On some inverse problems for the Black–Scholes equation. Matematičeskie zametki SVFU, Tome 28 (2021) no. 3, pp. 45-69. http://geodesic.mathdoc.fr/item/SVFU_2021_28_3_a3/