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

Authors

Marianito R. Rodrigo, University of WollongongFollow
Rogemar S. Mamon, University of Western Ontario,Brunel University

RIS ID

86644

Publication Details

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.

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.