Recovering a Piecewise Constant Volatility from Perpetual Put Option Prices
نویسندگان
چکیده
منابع مشابه
Recovering a Piecewise Constant Volatility from Perpetual Put Option Prices
In this paper we present a method to recover a time-homogeneous piecewise constant volatility from a finite set of perpetual put option prices. The whole calculation process of the volatility is decomposed into easy computations in many fixed disjoint intervals. In each interval, the volatility is obtained by solving a system of nonlinear equations.
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2010
ISSN: 0021-9002,1475-6072
DOI: 10.1239/jap/1285335403