Algorithm for determining the volatility function in the Black–Scholes model
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Authors
Isakov, Victor
Kabanikhin, Sergey Igorevich
Shananin, Alexander A.
Shishlenin, Maxim A.
Zhang, Shuhua
Advisors
Issue Date
2019-10
Type
Article
Keywords
Black–Scholes equation , Coefficient inverse problem , Local volatility , Optimization
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.
Table of Contents
Description
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Publisher
Pleiades Publishing
Journal
Book Title
Series
Computational Mathematics and Mathematical Physics;v.59:no.10
PubMed ID
DOI
ISSN
0965-5425