OpenAlex | The Use of Statistical Tests to Calibrate the Black-Scholes Asset Dynamics Model Applied to Pricing Options with Uncertain Volatility

The Use of Statistical Tests to Calibrate the Black-Scholes Asset Dynamics Model Applied to Pricing Options with Uncertain Volatility

Work

Year: 2012

Type: article

Abstract: A new method for calibrating the Black-Scholes asset price dynamics model is proposed. The data used to test the calibration problem included observations of asset prices over a finite set of (known) ... more

Source: Journal of Probability and Statistics

Authors Lorella Fatone, Francesca Marıanı, Maria Cristina Recchioni, Francesco Zirilli

Institutions Università di Camerino, Sapienza University of Rome, Marche Polytechnic University

Cites: 17

Cited by: 6

Related to: 10

FWCI: 0.896

Citation percentile (by year/subfield): 73.32

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Sustainable Development Goal Industry, innovation and infrastructure

Open Access status: gold

APC paid (est): $1,025