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 › рецензирование

1 Цитирования (Scopus)

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

Fingerprint Подробные сведения о темах исследования «Algorithm for Determining the Volatility Function in the Black–Scholes Model». Вместе они формируют уникальный семантический отпечаток (fingerprint).

Цитировать

@article{085dc143e6a94fbaa76916e3ddb43607,

title = "Algorithm for Determining the Volatility Function in the Black–Scholes Model",

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.",

keywords = "Black–Scholes equation, coefficient inverse problem, local volatility, optimization",

author = "Isakov, {V. M.} and Kabanikhin, {S. I.} and Shananin, {A. A.} and Shishlenin, {M. A.} and S. Zhang",

year = "2019",

month = oct,

day = "1",

doi = "10.1134/S0965542519100099",

language = "English",

volume = "59",

pages = "1753--1758",

journal = "Computational Mathematics and Mathematical Physics",

issn = "0965-5425",

publisher = "PLEIADES PUBLISHING INC",

number = "10",

}

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 › рецензирование

TY - JOUR

T1 - Algorithm for Determining the Volatility Function in the Black–Scholes Model

AU - Isakov, V. M.

AU - Kabanikhin, S. I.

AU - Shananin, A. A.

AU - Shishlenin, M. A.

AU - Zhang, S.

PY - 2019/10/1

Y1 - 2019/10/1

N2 - 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.

AB - 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.

KW - Black–Scholes equation

KW - coefficient inverse problem

KW - local volatility

KW - optimization

UR - http://www.scopus.com/inward/record.url?scp=85074250182&partnerID=8YFLogxK

U2 - 10.1134/S0965542519100099

DO - 10.1134/S0965542519100099

M3 - Article

AN - SCOPUS:85074250182

VL - 59

SP - 1753

EP - 1758

JO - Computational Mathematics and Mathematical Physics

JF - Computational Mathematics and Mathematical Physics

SN - 0965-5425

IS - 10

ER -