Enviar artigo por via de e-mail Algorithm for Determining the Volatility Function in the Black–Scholes Model
- Autores: Isakov V.M.1, Kabanikhin S.I.2, Shananin A.A.3, Shishlenin M.A.2, Zhang S.4
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Afiliações:
- 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
- Edição: Volume 59, Nº 10 (2019)
- Páginas: 1753-1758
- Seção: Article
- URL: https://journals.rcsi.science/0965-5425/article/view/180867
- DOI: https://doi.org/10.1134/S0965542519100099
- ID: 180867
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Resumo
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.
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Sobre autores
V. Isakov
Department of Mathematics and Statistics, Wichita State University
Autor responsável pela correspondência
Email: victor.isakov@wichita.edu
Estados Unidos da América, Wichita, Kansas, 67260-0033
S. Kabanikhin
Sobolev Institute of Mathematics, Russian Academy of Sciences, Novosibirsk State University
Autor responsável pela correspondência
Email: kabanikhin@sscc.ru
Rússia, Novosibirsk, 630090
A. Shananin
Moscow Institute of Physics and Technology
Autor responsável pela correspondência
Email: alexshan@yandex.ru
Rússia, Dolgoprudnyi, Moscow oblast, 141700
M. Shishlenin
Sobolev Institute of Mathematics, Russian Academy of Sciences, Novosibirsk State University
Autor responsável pela correspondência
Email: mshishlenin@ngs.ru
Rússia, Novosibirsk, 630090
S. Zhang
Tianjin University of Finance and Economics
Autor responsável pela correspondência
Email: shuhua55@126.com
República Popular da China, Beijing
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