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

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

zbMATH Keywords

inverse problem; Black-Scholes equation; volatility estimation; calculus of variation with partial differential equations

Mathematics Subject Classification ID

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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