An inverse Black-Scholes problem

DOI10.1007/s11081-020-09588-7zbMath1489.37115OpenAlexW3119129124MaRDI QIDQ2069122

Nizar Riane, Claire David

Publication date: 20 January 2022

Published in: Optimization and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11081-020-09588-7

zbMATH Keywords

option pricingfractal differential equationsBlack-Scholes equation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Dynamical systems in optimization and economics (37N40)

Related Items (1)

Parameter estimation for time-fractional Black-Scholes equation with S\&P 500 index option

Cites Work

• The Pricing of Options and Corporate Liabilities
• Introduction to the theory of (non-symmetric) Dirichlet forms
• Applied functional analysis. Applications to mathematical physics. Vol. 1
• Control of the Black-Scholes equation
• Inverse problems in spaces of measures
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