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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
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- 한국산업응용수학회 JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS Journal of the Korean Society for Industrial and Applied Mathematics Vol.29 No.1
- 발행연도
- 2025.3
- 수록면
- 26 - 36 (11page)
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초록· 키워드
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In this study, we present an algorithm for reconstructing local volatility surfaces to price European call options by using piecewise constant functions. The proposed method is based on the finite difference method to find the numerical solution of the generalized Black-Scholes equation. To solve optimization problems, the MATLAB function ‘lsqcurvefit’ is used. This function is particularly effective for fitting a model to data by minimizing the sum of squared differences between the observed and the predicted prices. To illustrate the effectiveness of the proposed method, we conduct computational tests with real market data from the KOSPI200 and S&P500 indices.
목차
ABSTRACT
1. INTRODUCTION
2. COMPUTATIONAL APPROACH
3. NUMERICAL EXPERIMENTS
4. CONCLUSION
REFERENCES
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