Standard

Algorithm for Determining the Volatility Function in the Black–Scholes Model. / Isakov, V. M.; Kabanikhin, S. I.; Shananin, A. A. et al.

In: Computational Mathematics and Mathematical Physics, Vol. 59, No. 10, 01.10.2019, p. 1753-1758.

Research output: Contribution to journal › Article › peer-review

Harvard

Isakov, VM, Kabanikhin, SI, Shananin, AA, Shishlenin, MA & Zhang, S 2019, 'Algorithm for Determining the Volatility Function in the Black–Scholes Model', Computational Mathematics and Mathematical Physics, vol. 59, no. 10, pp. 1753-1758. https://doi.org/10.1134/S0965542519100099

APA

Isakov, V. M., Kabanikhin, S. I., Shananin, A. A., Shishlenin, M. A., & Zhang, S. (2019). Algorithm for Determining the Volatility Function in the Black–Scholes Model. Computational Mathematics and Mathematical Physics, 59(10), 1753-1758. https://doi.org/10.1134/S0965542519100099

Vancouver

Isakov VM, Kabanikhin SI, Shananin AA, Shishlenin MA, Zhang S. Algorithm for Determining the Volatility Function in the Black–Scholes Model. Computational Mathematics and Mathematical Physics. 2019 Oct 1;59(10):1753-1758. doi: 10.1134/S0965542519100099

Author

Isakov, V. M. ; Kabanikhin, S. I. ; Shananin, A. A. et al. / Algorithm for Determining the Volatility Function in the Black–Scholes Model. In: Computational Mathematics and Mathematical Physics. 2019 ; Vol. 59, No. 10. pp. 1753-1758.

BibTeX

@article{085dc143e6a94fbaa76916e3ddb43607,
title = "Algorithm for Determining the Volatility Function in the Black–Scholes Model",
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.",
keywords = "Black–Scholes equation, coefficient inverse problem, local volatility, optimization",
author = "Isakov, {V. M.} and Kabanikhin, {S. I.} and Shananin, {A. A.} and Shishlenin, {M. A.} and S. Zhang",
year = "2019",
month = oct,
day = "1",
doi = "10.1134/S0965542519100099",
language = "English",
volume = "59",
pages = "1753--1758",
journal = "Computational Mathematics and Mathematical Physics",
issn = "0965-5425",
publisher = "PLEIADES PUBLISHING INC",
number = "10",

}

RIS

TY - JOUR

T1 - Algorithm for Determining the Volatility Function in the Black–Scholes Model

AU - Isakov, V. M.

AU - Kabanikhin, S. I.

AU - Shananin, A. A.

AU - Shishlenin, M. A.

AU - Zhang, S.

PY - 2019/10/1

Y1 - 2019/10/1

N2 - 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.

AB - 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.

KW - Black–Scholes equation

KW - coefficient inverse problem

KW - local volatility

KW - optimization

UR - http://www.scopus.com/inward/record.url?scp=85074250182&partnerID=8YFLogxK

U2 - 10.1134/S0965542519100099

DO - 10.1134/S0965542519100099

M3 - Article

AN - SCOPUS:85074250182

VL - 59

SP - 1753

EP - 1758

JO - Computational Mathematics and Mathematical Physics

JF - Computational Mathematics and Mathematical Physics

SN - 0965-5425

IS - 10

ER -

ID: 22087446