Email this article Algorithm for Determining the Volatility Function in the Black–Scholes Model
- Authors: Isakov V.M.1, Kabanikhin S.I.2, Shananin A.A.3, Shishlenin M.A.2, Zhang S.4
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Affiliations:
- Department of Mathematics and Statistics, Wichita State University
- Sobolev Institute of Mathematics, Russian Academy of Sciences, Novosibirsk State University
- Moscow Institute of Physics and Technology
- Tianjin University of Finance and Economics
- Issue: Vol 59, No 10 (2019)
- Pages: 1753-1758
- Section: Article
- URL: https://journals.rcsi.science/0965-5425/article/view/180867
- DOI: https://doi.org/10.1134/S0965542519100099
- ID: 180867
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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.
About the authors
V. M. Isakov
Department of Mathematics and Statistics, Wichita State University
Author for correspondence.
Email: victor.isakov@wichita.edu
United States, Wichita, Kansas, 67260-0033
S. I. Kabanikhin
Sobolev Institute of Mathematics, Russian Academy of Sciences, Novosibirsk State University
Author for correspondence.
Email: kabanikhin@sscc.ru
Russian Federation, Novosibirsk, 630090
A. A. Shananin
Moscow Institute of Physics and Technology
Author for correspondence.
Email: alexshan@yandex.ru
Russian Federation, Dolgoprudnyi, Moscow oblast, 141700
M. A. Shishlenin
Sobolev Institute of Mathematics, Russian Academy of Sciences, Novosibirsk State University
Author for correspondence.
Email: mshishlenin@ngs.ru
Russian Federation, Novosibirsk, 630090
S. Zhang
Tianjin University of Finance and Economics
Author for correspondence.
Email: shuhua55@126.com
China, Beijing
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