Algorithm for determining the volatility function in the Black–Scholes model
Isakov, Victor Kabanikhin, Sergey Igorevich Shananin, Alexander A. Shishlenin, Maxim A. Zhang, Shuhua
Isakov, Victor
Kabanikhin, Sergey Igorevich
Shananin, Alexander A.
Shishlenin, Maxim A.
Zhang, Shuhua
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2019-10
Type
Article
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Keywords
Black–Scholes equation,Coefficient inverse problem,Local volatility,Optimization
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Citation
Isakov, V.M., Kabanikhin, S.I., Shananin, A.A. et al. Comput. Math. and Math. Phys. (2019) 59: 1753
Abstract
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 similar options with different issue dates makes it possible to improve the accuracy and increase the interval in which the volatility function can be reconstructed.
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Pleiades Publishing
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Computational Mathematics and Mathematical Physics;v.59:no.10
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0965-5425