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    • Algorithm for determining the volatility function in the Black–Scholes model 

      Isakov, Victor, 1947-; Kabanikhin, Sergey Igorevich; Shananin, Alexander A.; Shishlenin, Maxim A.; Zhang, Shuhua (Pleiades Publishing, 2019-10)
      Abstract: An algorithm for reconstructing the volatility function in the modified Black–Scholes model is developed. Results of numerical computations are presented. It is shown that adding information about the prices of ...