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An inverse Black–Scholes problem

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Abstract

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.

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Notes

  1. i.e. options, the contract of which limits execution to the expiration date.

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Author information

Authors and Affiliations

  1. Université Mohammed V de Rabat, Rabat, Morocco

    Nizar Riane

  2. CNRS, UMR 7598, Laboratoire Jacques-Louis Lions, Sorbonne Université, 4, Place Jussieu, 75005, Paris, France

    Claire David

Authors
  1. Nizar Riane
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  2. Claire David
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Correspondence to Claire David.

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Riane, N., David, C. An inverse Black–Scholes problem. Optim Eng 22, 2183–2204 (2021). https://doi.org/10.1007/s11081-020-09588-7

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  • DOI: https://doi.org/10.1007/s11081-020-09588-7

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