Algorithm for determining the volatility function in the Black–Scholes model
Isakov, Victor, 1947-
Kabanikhin, Sergey Igorevich
Shananin, Alexander A.
Shishlenin, Maxim A.
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Isakov, V.M., Kabanikhin, S.I., Shananin, A.A. et al. Comput. Math. and Math. Phys. (2019) 59: 1753
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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