Recovery of time-dependent parameters of a Black-Scholes-type equation: an inverse Stieltjes moment approach

DOI10.1155/2007/62098zbMath1141.91021OpenAlexW2143455786MaRDI QIDQ2472051

Marianito R. Rodrigo, Rogemar S. Mamon

Publication date: 20 February 2008

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/54375

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

A Laplace transform approach to direct and inverse problems for multi-compartment models ⋮ Generalized heat diffusion equations with variable coefficients and their fractalization from the Black-Scholes equation

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Stochastic implied volatility. A factor-based model.
• A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE
• Volatility estimation from observed option prices

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