电邮这篇文章 Algorithm for Determining the Volatility Function in the Black–Scholes Model
- 作者: Isakov V.M.1, Kabanikhin S.I.2, Shananin A.A.3, Shishlenin M.A.2, Zhang S.4
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隶属关系:
- 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
- 期: 卷 59, 编号 10 (2019)
- 页面: 1753-1758
- 栏目: Article
- URL: https://journals.rcsi.science/0965-5425/article/view/180867
- DOI: https://doi.org/10.1134/S0965542519100099
- ID: 180867
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详细
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.
作者简介
V. Isakov
Department of Mathematics and Statistics, Wichita State University
编辑信件的主要联系方式.
Email: victor.isakov@wichita.edu
美国, Wichita, Kansas, 67260-0033
S. Kabanikhin
Sobolev Institute of Mathematics, Russian Academy of Sciences, Novosibirsk State University
编辑信件的主要联系方式.
Email: kabanikhin@sscc.ru
俄罗斯联邦, Novosibirsk, 630090
A. Shananin
Moscow Institute of Physics and Technology
编辑信件的主要联系方式.
Email: alexshan@yandex.ru
俄罗斯联邦, Dolgoprudnyi, Moscow oblast, 141700
M. Shishlenin
Sobolev Institute of Mathematics, Russian Academy of Sciences, Novosibirsk State University
编辑信件的主要联系方式.
Email: mshishlenin@ngs.ru
俄罗斯联邦, Novosibirsk, 630090
S. Zhang
Tianjin University of Finance and Economics
编辑信件的主要联系方式.
Email: shuhua55@126.com
中国, Beijing
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