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JOURNALS // Mathematical notes of NEFU // Archive

Mathematical notes of NEFU, 2021 Volume 28, Issue 3, Pages 45–69 (Mi svfu325)

Mathematics

On some inverse problems for the Black–Scholes equation

S. G. Pyatkov, D. S. Orlova

Yugra State University, 16 Chekhov Street, Khanty-Mansiysk 628011, Russia

Abstract: 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.

UDC: 517.95

Received: 31.03.2021
Revised: 19.05.2021
Accepted: 26.08.2021

DOI: 10.25587/SVFU.2021.27.57.004



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© Steklov Math. Inst. of RAS, 2025