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

DOI10.1134/S0965542519100099zbMath1437.91430OpenAlexW2982449369WikidataQ126860593 ScholiaQ126860593MaRDI QIDQ2300719

Alexander A. Shananin, Maxim A. Shishlenin, Sergey I. Kabanikhin, Shuhua Zhang, Victor Isakov

Publication date: 28 February 2020

Published in: Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0965542519100099

zbMATH Keywords

inverse problemBlack-Scholes equationvolatility estimationcalculus of variation with partial differential equations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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