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An inverse Black–Scholes problem
Optimization and Engineering ( IF 2.1 ) Pub Date : 2021-01-02 , DOI: 10.1007/s11081-020-09588-7
Nizar Riane , Claire David

In this work, we provide a new Black–Scholes model, where the weak formulation at stake is done in the case of a general class of finite Radon measures. A numerical estimation of the parameters, by means of a gradient algorithm, shows that the estimated model is better as regards option pricing quality than the classical Black–Scholes one.



中文翻译:

Black-Scholes反问题

在这项工作中,我们提供了一个新的Black-Scholes模型,该模型在一般的有限Radon量纲的情况下会危及到弱势公式。通过梯度算法对参数的数值估计表明,就期权定价质量而言,估计模型比经典的Black-Scholes模型更好。

更新日期:2021-01-02
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