Parameter identification problem for a parabolic equation - application to the Black-Scholes option pricing model

DOI10.1515/JIP-2012-0043MaRDI QIDQ5745504zbMATH OpenOpenAlexFDO

Authors Yury Korolev, Hideo Kubo, A. G. Yagola

Publication date 30 January 2014

Published in Journal of Inverse and Ill-posed Problems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/jip-2012-0043

zbMATH Keywords

parameter identificationerror estimationBlack-Scholes modelill-posed problems

Mathematics Subject Classification ID

Ill-posedness and regularization problems in numerical linear algebra (65F22) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32) Numerical methods for ill-posed problems for boundary value problems involving PDEs (65N20)

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• Parameters identification for an inverse problem arising from a binary option using a Bayesian inference approach
• On inverse problem of determination of the coefficient in the Black-Scholes type equation

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