TITLE:
On the Inverse Problem of Dupire’s Equation with Nonlocal Boundary and Integral Conditions
AUTHORS:
Coskun Guler, Volkan Oban
KEYWORDS:
Mathematical Finance, Dupire’s Formula, Dupire’s Equation, Local Volatility, Diffusion Equation, Inverse Problem, Well-Posedness
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.7 No.4,
November
28,
2017
ABSTRACT: In this study, Inverse Problem for Dupire’s Equation with nonlocal boundary and integral conditions is studied. Then, by means of the some transformation, this equation is converted to diffusion equation. The conditions for the existence and uniqueness of a classical solution of the problem under consideration are established and continuous dependence of (p, v) on the data is shown. It is emphasized that this problem is well-posed.