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...
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| Main Authors: | , , , , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2018-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2018/3093708 |
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