IDEAS home Printed from https://ideas.repec.org/p/arx/papers/2303.16773.html
   My bibliography  Save this paper

The inverse Black-Scholes problem in Radon measures space revisited: towards a new measure of market uncertainty

Author

Listed:
  • Nizar Riane

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.

Suggested Citation

  • Nizar Riane, 2023. "The inverse Black-Scholes problem in Radon measures space revisited: towards a new measure of market uncertainty," Papers 2303.16773, arXiv.org.
    • Handle: RePEc:arx:papers:2303.16773
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/2303.16773
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. V. L. Martin & G. M. Martin & G. C. Lim, 2005. "Parametric pricing of higher order moments in S&P500 options," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 377-404.
    2. Guntar Franke & Richard C. Stapleton & Marti G. Subrahmanyam, 1999. "When are Options Overpriced? The Black-Scholes Model and Alternative Characterizations of the Pricing Kernel," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-003, New York University, Leonard N. Stern School of Business-.
    3. Franke, Günter & Stapleton, Richard C. & Subrahmanyam, Marti G., 1999. "When are Options Overpriced? The Black-Scholes Model and Alternative Characterisations of the Pricing Kernel," CoFE Discussion Papers 99/01, University of Konstanz, Center of Finance and Econometrics (CoFE).
    4. Günter Franke & Richard C. Stapleton & Marti G. Subrahmanyam, 1999. "When are Options Overpriced? The Black—Scholes Model and Alternative Characterisations of the Pricing Kernel," Review of Finance, European Finance Association, vol. 3(1), pages 79-102.
    5. Guenter Franke & Richard C. Stapleton & Marti G. Subrahmanyam, 1999. "When are Options Overpriced? The Black-Scholes Model and Alternative Characterisations of the Pricing Kernel," Finance 9904004, University Library of Munich, Germany.
    6. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Luiz Vitiello & Ser-Huang Poon, 2022. "Option pricing with random risk aversion," Review of Quantitative Finance and Accounting, Springer, vol. 58(4), pages 1665-1684, May.
    2. Guenter Franke & James Huang & Richard Stapleton, 2006. "Two-dimensional risk-neutral valuation relationships for the pricing of options," Review of Derivatives Research, Springer, vol. 9(3), pages 213-237, November.
    3. Lüders, Erik & Franke, Günter, 2005. "Return predictability and stock market crashes in a simple rational expectations model," CoFE Discussion Papers 05/05, University of Konstanz, Center of Finance and Econometrics (CoFE).
    4. Frank Niehaus, 2001. "The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model," CeNDEF Workshop Papers, January 2001 2A.2, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    5. Jan Wenzelburger, 2013. "Risk sharing in a financial market with endogenous option prices," The European Journal of Finance, Taylor & Francis Journals, vol. 19(6), pages 491-517, July.
    6. Lüders, Erik, 2002. "Why Are Asset Returns Predictable?," ZEW Discussion Papers 02-48, ZEW - Leibniz Centre for European Economic Research.
    7. Bertram Düring, 2009. "Asset pricing under information with stochastic volatility," Review of Derivatives Research, Springer, vol. 12(2), pages 141-167, July.
    8. Franke, Günter & Lüders, Erik, 2004. "Why Do Asset Prices Not Follow Random Walks?," CoFE Discussion Papers 04/05, University of Konstanz, Center of Finance and Econometrics (CoFE).
    9. Tarik Driouchi & Lenos Trigeorgis & Raymond H. Y. So, 2018. "Option implied ambiguity and its information content: Evidence from the subprime crisis," Annals of Operations Research, Springer, vol. 262(2), pages 463-491, March.
    10. Lüders, Erik, 2002. "Asset Prices and Alternative Characterizations of the Pricing Kernel," ZEW Discussion Papers 02-10, ZEW - Leibniz Centre for European Economic Research.
    11. Franke, Günter & Lüders, Erik, 2006. "Return predictability and stock market crashes in a simple rational expectation models," CoFE Discussion Papers 06/05, University of Konstanz, Center of Finance and Econometrics (CoFE).
    12. Lüders, Erik & Lüders-Amann, Inge & Schröder, Michael, 2004. "The Power Law and Dividend Yields," ZEW Discussion Papers 04-51, ZEW - Leibniz Centre for European Economic Research.
    13. Bertram Düring & Erik Lüders, 2005. "Option Prices Under Generalized Pricing Kernels," Review of Derivatives Research, Springer, vol. 8(2), pages 97-123, August.
    14. James Huang, 2003. "Impact of Divergent Consumer Confidence on Option Prices," Review of Derivatives Research, Springer, vol. 6(3), pages 165-177, October.
    15. Luiz Vitiello & Ser-Huang Poon, 2014. "Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing," Review of Derivatives Research, Springer, vol. 17(2), pages 241-259, July.
    16. Schröder, Michael & Lüders, Erik, 2004. "Modeling Asset Returns: A Comparison of Theoretical and Empirical Models," ZEW Discussion Papers 04-19 [rev.], ZEW - Leibniz Centre for European Economic Research.
    17. Hara, Chiaki & Huang, James & Kuzmics, Christoph, 2007. "Representative consumer's risk aversion and efficient risk-sharing rules," Journal of Economic Theory, Elsevier, vol. 137(1), pages 652-672, November.
    18. Chiaki Hara, 2019. "Heterogeneous Impatience of Individual Consumers and Decreasing Impatience of the Representative Consumer," KIER Working Papers 1009, Kyoto University, Institute of Economic Research.
    19. repec:hum:wpaper:sfb649dp2006-077 is not listed on IDEAS
    20. Lüders, Erik & Peisl, Bernhard, 2001. "How do investors' expectations drive asset prices?," ZEW Discussion Papers 01-15, ZEW - Leibniz Centre for European Economic Research.
    21. Chen, Shiyi & Härdle, Wolfgang Karl & Moro, Rouslan A., 2006. "Estimation of default probabilities with Support Vector Machines," SFB 649 Discussion Papers 2006-077, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2303.16773. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.