Radon测度空间中的Black-Scholes逆问题再探讨:走向市场不确定性的新测度
The inverse Black-Scholes problem in Radon measures space revisited: towards a new measure of market uncertainty
摘要:
本文重新研究了逆布莱克-斯科尔斯模型,用更严格的方法证明了其解的存在性,并采用不同的有限元方法进行了实证研究。本文引入了期权市场中不确定性的度量方法。
英文摘要:
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.
机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。