Algorithm for determining the volatility function in the Black-Scholes model
Publication:2300719
DOI10.1134/S0965542519100099zbMath1437.91430WikidataQ126860593 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
inverse problem; Black-Scholes equation; volatility estimation; calculus of variation with partial differential equations
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
65C30: Numerical solutions to stochastic differential and integral equations
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
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