Мақаланы E-mail арқылы жіберу Algorithm for Determining the Volatility Function in the Black–Scholes Model
- Авторлар: Isakov V.M.1, Kabanikhin S.I.2, Shananin A.A.3, Shishlenin M.A.2, Zhang S.4
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Мекемелер:
- 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
- Шығарылым: Том 59, № 10 (2019)
- Беттер: 1753-1758
- Бөлім: Article
- URL: https://journal-vniispk.ru/0965-5425/article/view/180867
- DOI: https://doi.org/10.1134/S0965542519100099
- ID: 180867
Дәйексөз келтіру
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Рұқсат берілді
Тек жазылушылар үшін
Аннотация
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.
Негізгі сөздер
Авторлар туралы
V. Isakov
Department of Mathematics and Statistics, Wichita State University
Хат алмасуға жауапты Автор.
Email: victor.isakov@wichita.edu
АҚШ, Wichita, Kansas, 67260-0033
S. Kabanikhin
Sobolev Institute of Mathematics, Russian Academy of Sciences, Novosibirsk State University
Хат алмасуға жауапты Автор.
Email: kabanikhin@sscc.ru
Ресей, Novosibirsk, 630090
A. Shananin
Moscow Institute of Physics and Technology
Хат алмасуға жауапты Автор.
Email: alexshan@yandex.ru
Ресей, Dolgoprudnyi, Moscow oblast, 141700
M. Shishlenin
Sobolev Institute of Mathematics, Russian Academy of Sciences, Novosibirsk State University
Хат алмасуға жауапты Автор.
Email: mshishlenin@ngs.ru
Ресей, Novosibirsk, 630090
S. Zhang
Tianjin University of Finance and Economics
Хат алмасуға жауапты Автор.
Email: shuhua55@126.com
ҚХР, Beijing
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