{"title":"Generalized measure Black–Scholes equation: towards option self-similar pricing","authors":"Nizar Riane, Claire David","doi":"10.1007/s11081-024-09885-5","DOIUrl":null,"url":null,"abstract":"<p>In this work, we give a generalized formulation of the Black–Scholes model. The novelty resides in considering the Black–Scholes model to be valid on ’average’, but such that the pointwise option price dynamics depends on a measure representing the investors’ ’uncertainty’. We make use of the theory of non-symmetric Dirichlet forms and the abstract theory of partial differential equations to establish well posedness of the problem. A detailed numerical analysis is given in the case of self-similar measures.</p>","PeriodicalId":56141,"journal":{"name":"Optimization and Engineering","volume":null,"pages":null},"PeriodicalIF":2.0000,"publicationDate":"2024-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Optimization and Engineering","FirstCategoryId":"5","ListUrlMain":"https://doi.org/10.1007/s11081-024-09885-5","RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ENGINEERING, MULTIDISCIPLINARY","Score":null,"Total":0}
引用次数: 0
Abstract
In this work, we give a generalized formulation of the Black–Scholes model. The novelty resides in considering the Black–Scholes model to be valid on ’average’, but such that the pointwise option price dynamics depends on a measure representing the investors’ ’uncertainty’. We make use of the theory of non-symmetric Dirichlet forms and the abstract theory of partial differential equations to establish well posedness of the problem. A detailed numerical analysis is given in the case of self-similar measures.
期刊介绍：
Optimization and Engineering is a multidisciplinary journal; its primary goal is to promote the application of optimization methods in the general area of engineering sciences. We expect submissions to OPTE not only to make a significant optimization contribution but also to impact a specific engineering application.
Topics of Interest:
-Optimization: All methods and algorithms of mathematical optimization, including blackbox and derivative-free optimization, continuous optimization, discrete optimization, global optimization, linear and conic optimization, multiobjective optimization, PDE-constrained optimization & control, and stochastic optimization. Numerical and implementation issues, optimization software, benchmarking, and case studies.
-Engineering Sciences: Aerospace engineering, biomedical engineering, chemical & process engineering, civil, environmental, & architectural engineering, electrical engineering, financial engineering, geosciences, healthcare engineering, industrial & systems engineering, mechanical engineering & MDO, and robotics.
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