An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models

Publication Type:
Journal Article
Citation:
Computational Economics, 2003, 22 (2-3), pp. 113 - 138
Issue Date:
2003-12-01
Metrics:
Full metadata record
Files in This Item:
Filename Description Size
Thumbnail2003000758.pdf1.27 MB
Adobe PDF
We analyse the Bouchouev integral equation for the deterministic volatility function in the Black-Scholes option pricing model. We areable to reduce Bouchouev's original triple integral equation to a single integral equation and describe its numerical solution. Moreover we show empirically that the most complex term in the equation may often be safely ignored for the purposes of numerical calculations. We present a selection of numerical examples indicating the range of time values for which we would expect the equation to be valid. © 2003 Kluwer Academic Publishers.
Please use this identifier to cite or link to this item: