Recovery of Time‐Dependent Parameters of a Black‐Scholes‐Type Equation: An Inverse Stieltjes Moment Approach

Marianito R. Rodrigo and Rogemar S. Mamon

Journal of Applied Mathematics, 2007, vol. 2007, issue 1

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.

Date: 2007
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https://doi.org/10.1155/2007/62098

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnljam:v:2007:y:2007:i:1:n:062098

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