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Zhurnal Vychislitel'noi Matematiki i Matematicheskoi Fiziki, 2019, Volume 59, Number 10, Pages 1815–1820
DOI: https://doi.org/10.1134/S0044466919100090 (Mi zvmmf10975) 		 
This article is cited in 13 scientific papers (total in 13 papers)

Algorithm for determining the volatility function in the Black–Scholes model

V. M. Isakova, S. I. Kabanikhinbcd, A. A. Shananine, M. A. Shishleninbdc, S. Zhangf

a Department of Mathematics and Statistics, Wichita State University, Wichita, Kansas, 67260-0033 USA
b Institute of Computational Mathematics and Mathematical Geophysics of Siberian Branch of Russian Academy of Sciences
c Sobolev Institute of Mathematics, Russian Academy of Sciences, Novosibirsk, 630090 Russia
d Novosibirsk State University, Novosibirsk, 630090 Russia
e Moscow Institute of Physics and Technology, Dolgoprudnyi, Moscow oblast, 141700 Russia
f Beijing, Tianjin University of Finance and Economics, China
Citations (13)
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DOI: https://doi.org/10.1134/S0044466919100090
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.
Key words: Black–Scholes equation, coefficient inverse problem, optimization, local volatility.
Funding agency Grant number
Russian Foundation for Basic Research 19-01-00694
17-07-00507_а
17-51-150001_НЦНИ_а
17-51-540004_Вьет_а
16-29-15120_офи_м
16-01-00437_а
National Science Foundation DMS 15-08902
This work was supported by the Russian Foundation for Basic Research (project nos. 19-01-00694, 17-07-00507, 17-51-150001, 17-51-540004, 16-29-15120, and 16-01-00437) and by NSF (project no. DMS 15-08902).
Received: 21.04.2019
Revised: 10.06.2019
Accepted: 10.06.2019
English version:
Computational Mathematics and Mathematical Physics, 2019, Volume 59, Issue 10, Pages 1753–1758
DOI: https://doi.org/10.1134/S0965542519100099
Bibliographic databases:
Document Type: Article
UDC: 519.86
Language: Russian
Citation: V. M. Isakov, S. I. Kabanikhin, A. A. Shananin, M. A. Shishlenin, S. Zhang, “Algorithm for determining the volatility function in the Black–Scholes model”, Zh. Vychisl. Mat. Mat. Fiz., 59:10 (2019), 1815–1820; Comput. Math. Math. Phys., 59:10 (2019), 1753–1758
Citation in format AMSBIB
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    • This publication is cited in the following 13 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Журнал вычислительной математики и математической физики Computational Mathematics and Mathematical Physics
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