Convergence analysis of option drift rate inverse problem based on degenerate parabolic equation
In this paper, we study the convergence of the inverse drift rate problem of option pricing based on degenerate parabolic equations, aiming to recover the stock price drift rate function by known option market prices. Unlike the classical inverse parabolic equation problem, the article transforms th...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2025-05-01
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| Series: | Results in Applied Mathematics |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2590037425000251 |
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