Research Article
Reconstruction of the Time-Dependent Volatility Function Using the Black–Scholes Model
Table 1
Convergence test for European call option values.
| | Case | | | | |
| | | 7.397038 | 7.432546 | 7.441332 | 7.443523 | | | 7.389061 | 7.424523 | 7.433299 | 7.435488 | | | 7.385044 | 7.420485 | 7.429255 | 7.431443 | | | 7.383028 | 7.418458 | 7.427226 | 7.429413 |
|
|
