Static Hedging of Barrier Options with a Smile: An Inverse Problem
Claude Bardos, Raphaël Douady, Andrei Fursikov (2010)
ESAIM: Control, Optimisation and Calculus of Variations
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Let be a parabolic second order differential operator on the domain Given a function and such that the support of û is contained in , we let be the solution to the equation: Given positive bounds we seek a function with support in such that the corresponding solution satisfies: We prove in this article that, under some regularity conditions on the coefficients of continuous solutions are unique and dense in the sense that can be -approximated,...