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

Rodrigo, Marianito R.; Mamon, Rogemar

doi:10.1155/2007/62098

Cited by 5 publications

(2 citation statements)

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“…It is notable that the time-dependent parameters in financial dynamics have largely been addressed in the literature through different aspects and methodologies [40][41][42][43][44][45][46][47][48][49]. Letting x = lnS and introducing the new variable τ = T − t (the time to expiry, such that τ = 0 at T = t), it is easy to check that equation (8) turns into:…”

Section: Resultsmentioning

confidence: 99%

Generalized heat diffusion equations with variable coefficients and their fractalization from the Black-Scholes equation

El-Nabulsi

Golmankhaneh

2021

Commun. Theor. Phys.

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Section: Resultsmentioning

confidence: 99%

Generalized heat diffusion equations with variable coefficients and their fractalization from the Black-Scholes equation

El-Nabulsi

Golmankhaneh

2021

Commun. Theor. Phys.

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“…This is called an Inverse Problem. These are difficult theoretical problems and they are computationally heavy; see [11,70,85] and more references therein.…”

Section: Final Comments 91 Briefly On Relevant Topics Not Discussed Herementioning

confidence: 99%

Moment Properties of Probability Distributions Used in Stochastic Financial Models

Stoyanov¹

2016

Recent Advances in Financial Engineering 2014

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Our goal in this paper is to look at stochastic financial models and especially on those properties of the involved distributions which are expressed in terms of the moments. The questions discussed and the results presented reveal the role which the moments play in the analysis of distributions. Interesting conclusions can be derived in both cases when available are finitely many moments and when we know all moments.Among the results included in the paper are sharp lower and/or upper bounds for option prices in terms of a finite number of moments. However the main attention is paid to the determinacy of distributions by their moments. While any light tailed distribution is uniquely determined by its moments, the uniqueness may fail for heavy tailed distributions. And, here is the point. Heavy tailed distributions are essentially involved in stock market modelling, and most of them are nonunique in terms of the moments. This is why the phenomenon non-uniqueness of distributions deserves a special attention.We treat distributions on the positive half-line used to describe, e.g., stock prices and option prices, and distributions on the whole real line describing logreturns. For reader's convenience we give a brief and unified general picture of existing results about uniqueness and non-uniqueness of distribution in terms of their moments. Some of the results are classical and well-known. In several cases we provide here new arguments along with presenting new recent results on the moment determinacy of random variables and their non-linear transformations and also of stochastic processes which are solutions to SDEs.

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Calibrating with a smile: A Mellin transform approach to volatility surface calibration

Rodrigo

2022

Econometrics and Statistics

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

Cited by 5 publications

References 5 publications

Generalized heat diffusion equations with variable coefficients and their fractalization from the Black-Scholes equation

Generalized heat diffusion equations with variable coefficients and their fractalization from the Black-Scholes equation

Moment Properties of Probability Distributions Used in Stochastic Financial Models

Calibrating with a smile: A Mellin transform approach to volatility surface calibration

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