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. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 07:15, 5 March 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
