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 |
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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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| _version_ | 1832548939519229952 |
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| author | Marianito R. Rodrigo Rogemar S. Mamon |
| author_facet | Marianito R. Rodrigo Rogemar S. Mamon |
| author_sort | Marianito R. Rodrigo |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-2a134433ea3942ff9050c884852cef4f |
| institution | Kabale University |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2007-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-2a134433ea3942ff9050c884852cef4f2025-02-03T06:12:38ZengWileyJournal of Applied Mathematics1110-757X1687-00422007-01-01200710.1155/2007/6209862098Recovery of Time-Dependent Parameters of a Black-Scholes-Type Equation: An Inverse Stieltjes Moment ApproachMarianito R. Rodrigo0Rogemar S. Mamon1Departamento Académico de Matemáticas, Instituto Tecnológico Autónomo de México, Mexico 14200, D. F., MexicoDepartment of Statistical and Actuarial Sciences, University of Western Ontario, ON N6A 1Y2, CanadaWe 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.http://dx.doi.org/10.1155/2007/62098 |
| spellingShingle | Marianito R. Rodrigo Rogemar S. Mamon Recovery of Time-Dependent Parameters of a Black-Scholes-Type Equation: An Inverse Stieltjes Moment Approach Journal of Applied Mathematics |
| title | Recovery of Time-Dependent Parameters of a Black-Scholes-Type Equation: An Inverse Stieltjes Moment Approach |
| title_full | Recovery of Time-Dependent Parameters of a Black-Scholes-Type Equation: An Inverse Stieltjes Moment Approach |
| title_fullStr | Recovery of Time-Dependent Parameters of a Black-Scholes-Type Equation: An Inverse Stieltjes Moment Approach |
| title_full_unstemmed | Recovery of Time-Dependent Parameters of a Black-Scholes-Type Equation: An Inverse Stieltjes Moment Approach |
| title_short | Recovery of Time-Dependent Parameters of a Black-Scholes-Type Equation: An Inverse Stieltjes Moment Approach |
| title_sort | recovery of time dependent parameters of a black scholes type equation an inverse stieltjes moment approach |
| url | http://dx.doi.org/10.1155/2007/62098 |
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