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

5 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

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10.1134/S0965542519100099

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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",

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

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

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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

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DO - 10.1134/S0965542519100099

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EP - 1758

JO - Computational Mathematics and Mathematical Physics

JF - Computational Mathematics and Mathematical Physics

SN - 0965-5425

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

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