Recovery of Time-Dependent Parameters of a Black-Scholes-Type Equation An Inverse Stieltjes Moment Approach 外文参考文献.docVIP

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Recovery of Time-Dependent Parameters of a Black-Scholes-Type Equation An Inverse Stieltjes Moment Approach 外文参考文献.doc

Recovery of Time-Dependent Parameters of a Black-Scholes-Type Equation An Inverse Stieltjes Moment Approach 外文参考文献

HindawiPublishingCorporation JournalofAppliedMathematics Volume2007,ArticleID62098,8pages doi:10.1155/2007/62098 ResearchArticle RecoveryofTime-DependentParametersofaBlack-Scholes-Type Equation:AnInverseStieltjesMomentApproach MarianitoR.RodrigoandRogemarS.Mamon Received21February2007;Revised22May2007;Accepted13August2007 RecommendedbyWolfgangSchmidt Weshowthattheproblemofrecoveringthetime-dependent parametersofanequation ofBlack-ScholestypecanbeformulatedasaninverseStieltjesmomentproblem.Anap- plicationtotheproblemofimpliedvolatilitycalculationinthecasewhenthemodelpa- rametersaretimevar

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Recovery of Time-Dependent Parameters of a Black-Scholes-Type Equation An Inverse Stieltjes Moment Approach 外文参考文献.docVIP