Recovery of time-dependent parameters of a Black-Scholes-type equation: an inverse Stieltjes moment approach (Q2472051): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
ReferenceBot (talk | contribs) Changed an Item |
||
| (2 intermediate revisions by 2 users not shown) | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2143455786 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Volatility estimation from observed option prices / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q5508534 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Stochastic implied volatility. A factor-based model. / rank | |||
Normal rank | |||
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 |
scientific article |
Statements
Recovery of time-dependent parameters of a Black-Scholes-type equation: an inverse Stieltjes moment approach (English)
0 references
20 February 2008
0 references
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.
0 references
