Forecasting stock options prices via the solution of an ill-posed problem for the Black–Scholes equation

DOI10.1088/1361-6420/ac91eczbMath1501.35405arXiv2202.07174OpenAlexW4295792548MaRDI QIDQ5044970

Kirill V. Golubnichiy, Sergey M. Kravchenko, Michael V. Klibanov, Alexander A. Shananin

Publication date: 3 November 2022

Published in: Inverse Problems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2202.07174

zbMATH Keywords

ill-posed problemgeometric Brownian motionprobability theoryBlack-Scholes equationCarleman estimatequasi-reversibility methodEuropean call options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Brownian motion (60J65) Ill-posed problems for PDEs (35R25) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs with randomness, stochastic partial differential equations (35R60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (2)

Quasi-reversibility method and neural network machine learning for forecasting of stock option prices ⋮ A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance

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