Research Article
Reconstruction of the Time-Dependent Volatility Function Using the Black–Scholes Model
Table 3
European call option prices generated by the volatility function
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| | 94 | 96 | 98 | 100 | 102 | 104 | 106 | 108 |
| | 8.87 | 7.60 | 6.45 | 5.42 | 4.51 | 3.72 | 3.05 | 2.47 | | 10.27 | 9.06 | 7.95 | 6.94 | 6.03 | 5.20 | 4.47 | 3.82 | | 11.08 | 9.89 | 8.79 | 7.78 | 6.86 | 6.02 | 5.26 | 4.58 | | 11.61 | 10.43 | 9.33 | 8.32 | 7.39 | 6.54 | 5.76 | 5.06 |
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