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

Author

Listed:
  • 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)

  • Philippe Jacquinot

    (UP1 - Université Paris 1 Panthéon-Sorbonne)

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.

Suggested Citation

  • Nikolay Sukhomlin & Philippe Jacquinot, 2007. "Solution exacte du problème inverse de valorisation des options dans le cadre du modèle de Black et Scholes," Working Papers hal-00144781, HAL.
    • Handle: RePEc:hal:wpaper:hal-00144781
    Note: View the original document on HAL open archive server: https://hal.science/hal-00144781
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    Cited by:

    1. Sukhomlin, Nikolay & Santana Jiménez, Lisette Josefina, 2010. "Problema de calibración de mercado y estructura implícita del modelo de bonos de Black-Cox = Market Calibration Problem and the Implied Structure of the Black-Cox Bond Model," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 10(1), pages 73-98, December.

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