英文标题：
《Profitable forecast of prices of stock options on real market data via
  the solution of an ill-posed problem for the Black-Scholes equation》
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作者：
Michael V. Klibanov and Andrey V. Kuzhuget
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最新提交年份：
2015
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英文摘要：
  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 initial and boundary conditions. Conventional notions of maturity time and strike prices are not used. The Black-Scholes equation is solved as a parabolic equation with the reversed time, which is an ill-posed problem. Thus, a regularization method is used to solve it. This idea is verified on real market data for twenty liquid options. A trading strategy is proposed. This strategy indicates that our method is profitable on at least those twenty options. We conjecture that our method might lead to significant profits of those financial institutions which trade large amounts of options. We caution, however, that detailed further studies are necessary to verify this conjecture.
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中文摘要：
提出了一种新的布莱克-斯科尔斯方程的数学模型来预测期权价格。该模型包括标的股票价格的新区间以及新的初始和边界条件。未使用到期时间和履约价格的传统概念。Black-Scholes方程作为一个反时间抛物方程求解，这是一个不适定问题。因此，使用正则化方法来解决该问题。这一观点在20种流动期权的真实市场数据上得到了验证。提出了一种交易策略。这一策略表明，我们的方法至少在这20个选项上是有利可图的。我们推测，我们的方法可能会为那些交易大量期权的金融机构带来可观的利润。然而，我们要提醒的是，有必要进行详细的进一步研究，以验证这一推测。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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