Recovery of time-dependent parameters of a Black-Scholes-type equation: an inverse Stieltjes moment approach (Q2472051): Difference between revisions
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| Property / cites work: Volatility estimation from observed option prices / rank | |||
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| Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
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| Property / cites work: A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE / rank | |||
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| Property / cites work: Stochastic implied volatility. A factor-based model. / rank | |||
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Latest revision as of 16:19, 27 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Recovery of time-dependent parameters of a Black-Scholes-type equation: an inverse Stieltjes moment approach |
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Recovery of time-dependent parameters of a Black-Scholes-type equation: an inverse Stieltjes moment approach (English)
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20 February 2008
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Summary: We show that the problem of recovering the time-dependent parameters of an equation of Black-Scholes type can be formulated as an inverse Stieltjes moment problem. An application to the problem of implied volatility calculation in the case when the model parameters are time varying is provided and results of numerical simulations are presented.
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