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

doi:10.1134/S0965542519100099

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

Результат исследования: Научные публикации в периодических изданиях › статья

Аннотация

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.

Язык оригинала	английский
Страницы (с-по)	1753-1758
Число страниц	6
Журнал	Computational Mathematics and Mathematical Physics
Том	59
Номер выпуска	10
DOI	https://doi.org/10.1134/S0965542519100099
Состояние	Опубликовано - 1 окт 2019

Доступ к документу

10.1134/S0965542519100099

Link to publication in Scopus

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Цитировать

Isakov, V. M., Kabanikhin, S. I., Shananin, A. A., Shishlenin, M. A., & Zhang, S. (2019). Algorithm for Determining the Volatility Function in the Black–Scholes Model. Computational Mathematics and Mathematical Physics, 59(10), 1753-1758. https://doi.org/10.1134/S0965542519100099

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Algorithm for Determining the Volatility Function in the Black–Scholes Model. / Isakov, V. M.; Kabanikhin, S. I.; Shananin, A. A.; Shishlenin, M. A.; Zhang, S.

В: Computational Mathematics and Mathematical Physics, Том 59, № 10, 01.10.2019, стр. 1753-1758.

Результат исследования: Научные публикации в периодических изданиях › статья

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AU - Shananin, A. A.

AU - Shishlenin, M. A.

AU - Zhang, S.

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