Solution exacte du problème inverse de valorisation des options dans le cadre du modèle de Black et Scholes

Nikolay Sukhomlin () and Philippe Jacquinot
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Nikolay Sukhomlin: LABORATORIO DE SISTEMAS COMPLEJOS - Laboratorio de Sistemas Complejos - UASD - Universidad Autónoma de Santo Domingo = Autonomous University of Santo-Domingo, LABORATORIO DE INVESTIGACIONES EN ECONOMíA - Laboratorio de Investigaciones en Economía - Pontifical Catholic University of Santo-Domingo (PUCMM), DYNAMICAL SYSTEMS LABORATORY - Dynamical Systems Laboratory - International Foundation of Science and Technology

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Abstract: EXACT SOLUTION OF THE INVERSE PROBLEM OF OPTION PRICING IN THE BLACK-SCHOLES MODEL The main result of this study concerns the expression of the volatility of an option as a function of the other parameters intervening in the traditional Black-Scholes model. This expression, exact, is firstly deduced in an analytical way and secondly verified with simulated data.

Keywords: Black Scholes model; implied volatility; inverse problem of option pricing; Modèle de Black et Scholes; volatilité implicite; problème inverse de valorisation des options (search for similar items in EconPapers)
Date: 2007-05-04
Note: View the original document on HAL open archive server: https://hal.science/hal-00144781
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