Recovery of the time-dependent implied volatility of time fractional Black-Scholes equation using linearization technique

DOI10.1515/jiip-2020-0105zbMath1470.35432OpenAlexW3123407107MaRDI QIDQ2048231

Yujie Wei, Sajad Iqbal

Publication date: 5 August 2021

Published in: Journal of Inverse and Ill-Posed Problems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jiip-2020-0105

zbMATH Keywords

regularizationlinearizationVolterra integral equationimplied volatility\(L_1\)-FDIA scheme

Mathematics Subject Classification ID

Ill-posed problems for PDEs (35R25) Inverse problems for PDEs (35R30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11)

Uses Software

• Mittag-Leffler
• mlf

Cites Work

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