Recovery of Implied Volatility in a Spatial-Fractional Black–Scholes Equation Under a Finite Moment Log Stable Model
In this paper, we study direct and inverse problems for a spatial-fractional Black–Scholes equation with space-dependent volatility. For the direct problem, we provide CN-WSGD (Crank–Nicholson and the weighted and shifted Grünwald difference) scheme to solve the initial boundary value problem. The l...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-08-01
|
| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/13/15/2480 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|