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q-fin.MF2022★ 7 cited
Forecasting Stock Options Prices via the Solution of an Ill-Posed Problem for the Black-Scholes Equation
Michael V. Klibanov, Aleksander A. Shananin, Kirill V. Golubnichiy +1
In the previous paper (Inverse Problems, 32, 015010, 2016), a new heuristic mathematical model was proposed for accurate forecasting of prices of stock options for 1-2 trading days…
q-fin.MF2015★ 1 cited
Profitable forecast of prices of stock options on real market data via the solution of an ill-posed problem for the Black-Scholes equation
Michael V. Klibanov, Andrey V. Kuzhuget
A new mathematical model for the Black-Scholes equation is proposed to forecast option prices. This model includes new interval for the price of the underlying stock as well as new…