Numerical solution of the right boundary condition inverse problem for the Black-Scholes equation

摘要

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.