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

Journal Article


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Abstract


  • 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.

Publication Date


  • 2007

Citation


  • Rodrigo, M. R. & Mamon, R. S. (2007). Recovery of time-dependent parameters of a Black-Scholes-type equation: an inverse Stieltjes moment approach. Journal of Applied Mathematics, 2007 62098-1-62098-8.

Scopus Eid


  • 2-s2.0-36849003072

Ro Full-text Url


  • http://ro.uow.edu.au/cgi/viewcontent.cgi?article=2874&context=eispapers

Ro Metadata Url


  • http://ro.uow.edu.au/eispapers/1865

Has Global Citation Frequency


Start Page


  • 62098-1

End Page


  • 62098-8

Volume


  • 2007

Place Of Publication


  • United States

Abstract


  • 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.

Publication Date


  • 2007

Citation


  • Rodrigo, M. R. & Mamon, R. S. (2007). Recovery of time-dependent parameters of a Black-Scholes-type equation: an inverse Stieltjes moment approach. Journal of Applied Mathematics, 2007 62098-1-62098-8.

Scopus Eid


  • 2-s2.0-36849003072

Ro Full-text Url


  • http://ro.uow.edu.au/cgi/viewcontent.cgi?article=2874&context=eispapers

Ro Metadata Url


  • http://ro.uow.edu.au/eispapers/1865

Has Global Citation Frequency


Start Page


  • 62098-1

End Page


  • 62098-8

Volume


  • 2007

Place Of Publication


  • United States