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

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

Journal

Computational Mathematics and Mathematical Physics
ISSN: 0965-5425 , E-ISSN: 1555-6662

Output data

Year: 2019, Volume: 59, Number: 10, Pages: 1753-1758 Pages count : 6 DOI: 10.1134/S0965542519100099

Tags

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

Authors

Isakov V.M. ¹ , Kabanikhin S.I. ² , Shananin A.A. ³ , Shishlenin M.A. ² , Zhang S. ⁴

Affiliations

1	Department of Mathematics and Statistics, Wichita State University, Wichita, KS 67260-0033, United States
2	Sobolev Institute of Mathematics, Russian Academy of Sciences, Novosibirsk State University, Novosibirsk, 630090, Russian Federation
3	Moscow Institute of Physics and Technology, Dolgoprudnyi, Moscow oblast 141700, Russian Federation
4	Tianjin University of Finance and Economics, Beijing, China

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. © 2019, Pleiades Publishing, Ltd.

Isakov V.M. , Kabanikhin S.I. , Shananin A.A. , Shishlenin M.A. , Zhang S.
Algorithm for Determining the Volatility Function in the Black–Scholes Model
Computational Mathematics and Mathematical Physics. 2019. V.59. N10. P.1753-1758. DOI: 10.1134/S0965542519100099 WOS Scopus OpenAlex

Web of science:	WOS:000501844700015
Scopus:	2-s2.0-85074250182
OpenAlex:	W2982449369

DB	Citing
Scopus	14
OpenAlex	14
Web of science	11