Reconstruction of the Time-Dependent Volatility Function Using the Black–Scholes Model

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<div>The value of <span class="nowrap"><svg height="11.5564pt" id="M181" style="vertical-align:-2.26807pt" version="1.1" viewbox="-0.0498162 -9.28833 23.1176 11.5564" width="23.1176pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M485 501C480 550 475 615 475 650H42V622C119 616 127 606 127 525V126C127 44 119 34 41 28V0H311V28C220 34 212 43 212 126V584C212 612 216 615 244 615H318C382 615 404 608 420 587C435 568 445 541 455 497L485 501Z" id="g113-132"></path></g><g transform="matrix(.013,0,0,-0.013,6.595,0)"><path d="M300 -147C201 -63 143 98 143 270S200 602 300 686L282 710C136 610 70 450 70 271V270C70 89 136 -72 282 -170L300 -147Z" id="g113-41"></path></g><g transform="matrix(.013,0,0,-0.013,11.093,0)"><path d="M548 455L523 469C505 448 490 439 461 439C416 439 374 447 316 447C144 447 23 310 23 161C23 47 89 -12 179 -12C312 -12 429 106 429 244C429 303 419 344 368 386L371 388C404 383 440 378 474 378C507 378 530 411 548 455ZM350 274C350 191 308 25 198 25C144 25 108 75 108 157C108 264 170 395 276 395C296 395 320 384 333 360C347 334 350 316 350 274Z" id="g113-240"></path></g><g transform="matrix(.013,0,0,-0.013,18.44,0)"><path d="M275 270C275 450 212 609 64 710L45 686C145 604 203 442 203 270S147 -63 45 -147L64 -170C213 -68 275 89 275 270Z" id="g113-42"></path></g></svg>.</span></div>

Discrete Dynamics in Nature and Society

tab4

Table 4

Table 4: Reconstruction of the Time-Dependent Volatility Function Using the Black–Scholes Model 