Algorithm for Determining the Volatility Function in the Black–Scholes Model

V. M. Isakov, S. I. Kabanikhin, A. A. Shananin, M. A. Shishlenin, S. Zhang

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)


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.

Original languageEnglish
Pages (from-to)1753-1758
Number of pages6
JournalComputational Mathematics and Mathematical Physics
Issue number10
Publication statusPublished - 1 Oct 2019


  • Black–Scholes equation
  • coefficient inverse problem
  • local volatility
  • optimization


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