Abstract

In this paper we consider backward problem and inverse source problem for time-fractional Black-Scholes equation, which arises from pricing double barrier option under the constant elasticity of variance process. Main tools are spectral method and Sturm-Liouville theory. The existence, uniqueness and convergence analysis of analytic solutions of the backward problem and inverse source problem of time-fractional Black-Scholes model are established in terms of Whittaker functions or modified Bessel functions with large variables.

Citation details of the article

Journal: International Journal of Applied Mathematics
Journal ISSN (Print): ISSN 1311-1728
Journal ISSN (Electronic): ISSN 1314-8060
Volume: 36
Issue: 1
Year: 2023

DOI: 10.12732/ijam.v36i1.2

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