Recovery of Implied Volatility in a Spatial-Fractional Black–Scholes Equation Under a Finite Moment Log Stable Model

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...

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Bibliographic Details
Main Authors: Xiaoying Jiang, Chunmei Shi, Yujie Wei
Format: Article
Language:English
Published: MDPI AG 2025-08-01
Series:Mathematics
Subjects:
spatial-fractional Black–Scholes equation
CN-WSGD scheme
linearization technique
reconstruction algorithm
Online Access:https://www.mdpi.com/2227-7390/13/15/2480
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