Algorithm for Determining the Volatility Function in the Black

Original language	English
Pages (from-to)	1753-1758
Number of pages	6
Journal	Computational Mathematics and Mathematical Physics
Volume	59
Issue number	10
DOIs	https://doi.org/10.1134/S0965542519100099
Publication status	Published - 1 Oct 2019

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

ID: 22087446

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