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Your search keyword '"Georgiev, Slavi"' showing total 1 results
Start Over Author "Georgiev, Slavi" Topic derivative securities Topic inverse problems Publisher american institute of physics
1 results on '"Georgiev, Slavi"'

1. Numerical Solution of the Right Boundary Condition Inverse Problem for the Black - Scholes Equation.

Author

Georgiev, Slavi G. and Vulkov, Lubin G.

Subjects
*NUMERICAL solutions to boundary value problems, *INVERSE problems, *BLACK-Scholes model, *OPTIONS (Finance), *DERIVATIVE securities
Abstract

In this work we report the development of an algorithm to solve inverse problems of determining the right boundary condition according to a measurement inside a truncated domain for the Black-Scholes equation. The difference schemes for the direct and inverse problems are derived on non-uniform Tavella-Randall grids. We propose and discuss results of computational experiments for several European options. [ABSTRACT FROM AUTHOR]

Published
2017
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