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 | |
Состояние | Опубликовано - 1 окт. 2019 |