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

被引：7
|
作者：
Korolev, Yury M.
Kubo, Hideo
Yagola, Anatoly G.
机构：
[1] GSP-1, 1-2 Leninskiye Gory, 119991, Moscow
来源：
JOURNAL OF INVERSE AND ILL-POSED PROBLEMS | 2012年 / 20卷 / 03期
关键词：
Ill-posed problems; error estimation; parameter identification; Black-Scholes model;
D O I：
10.1515/jip-2012-0043
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We consider an inverse problem of parameter identification for a parabolic equation. The underlying practical example is the reconstruction of the unknown drift in the extended Black-Scholes option pricing model. Using a priori information about the unknown solution (i.e. its Lipschitz constant), we provide a solution to this non-linear ill-posed problem, as well as an error estimate. Other types of a priori information may be used (for example, monotonicity and/or convexity of the unknown solution).
引用
收藏
页码：327 / 337
页数：11
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