The inverse Black-Scholes problem in Radon measures space revisited: towards a new measure of market uncertainty
Abstract
In this paper, we revisit the inverse Black-Scholes model, the existence of the solution is proved in more rigorous way, and the empirical study is done using different approach based on finite element method. The article leads to a measure of incertitude in the option market.
0
Turn this paper into a lesson
ArcXiv compiles a structured reading guide from this paper's metadata: plain-English importance, contributions, prerequisite concepts, which sections to read first, flashcards, and a quiz. Grounded in the abstract, never invented.