Reconstruction of the Time-Dependent Volatility Function Using the Black–Scholes Model

Reconstruction of the Time-Dependent Volatility Function Using the Black–Scholes Model

We propose a simple and robust numerical algorithm to estimate a time-dependent volatility function from a set of market observations, using the Black–Scholes (BS) model. We employ a fully implicit finite difference method to solve the BS equation numerically. To define the time-dependent volatility...

Full description

Bibliographic Details
Main Authors: Yuzi Jin, Jian Wang, Sangkwon Kim, Youngjin Heo, Changwoo Yoo, Youngrock Kim, Junseok Kim, Darae Jeong
Format: Article
Language:English
Published: Hindawi Limited 2018-01-01
Series:Discrete Dynamics in Nature and Society
Online Access:http://dx.doi.org/10.1155/2018/3093708

Internet

http://dx.doi.org/10.1155/2018/3093708

Similar Items