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Journal of Probability and Statistics
Volume 2012 (2012), Article ID 931609, 20 pages
http://dx.doi.org/10.1155/2012/931609
Research Article

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

1Dipartimento di Matematica e Informatica, Università di Camerino, Via Madonna delle Carceri 9, 62032 Camerino, Italy
2CERI-Centro di Ricerca “Previsione, Prevenzione e Controllo dei Rischi Geologici”, Università di Roma “La Sapienza”, Palazzo Doria Pamphilj, Piazza Umberto Pilozzi 9, Valmontone 00038 Roma, Italy
3Dipartimento di Scienze Sociali “D. Serrani”, Università Politecnica delle Marche, Piazza Martelli 8, 60121 Ancona, Italy
4Dipartimento di Matematica “G. Castelnuovo”, Università di Roma “La Sapienza”, Piazzale Aldo Moro 2, 00185 Roma, Italy

Received 28 October 2011; Revised 28 February 2012; Accepted 13 March 2012

Academic Editor: A. Thavaneswaran

Copyright © 2012 Lorella Fatone et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

How to Cite this Article

Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, and Francesco Zirilli, “The Use of Statistical Tests to Calibrate the Black-Scholes Asset Dynamics Model Applied to Pricing Options with Uncertain Volatility,” Journal of Probability and Statistics, vol. 2012, Article ID 931609, 20 pages, 2012. doi:10.1155/2012/931609