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q-fin.MF2024★ 1 cited
Generalized measure Black-Scholes equation: Towards option self-similar pricing
Nizar Riane, Claire David
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 p…
q-fin.MF2023
The inverse Black-Scholes problem in Radon measures space revisited: towards a new measure of market uncertainty
Nizar Riane
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 ba…