Recovery of Time-Dependent Parameters of a Black-Scholes-Type Equation: An Inverse Stieltjes Moment Approach
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...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2007-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2007/62098 |
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| 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. |
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| ISSN: | 1110-757X 1687-0042 |