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I have a binary option and want to calibrate it's BS pricing model. I only have a series of Strike Price vs the Option price, no knowledge on time to maturity, volatility, risk free rate or the underlying price. I have to predict option price for some out of sample set of strike prices. How would I go about calibration of such a model? Or is there some other approach?

I don't think Multi parameter optimisation makes sense here, no sense finding the optimal risk free rate.

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  • $\begingroup$ Do your provided options all have the same, unknown, expiration date? $\endgroup$ – Charles Fox Sep 16 at 17:38
  • $\begingroup$ It's not given, but let's assume they have same expiration date. Is it solvable then? $\endgroup$ – Dhruv Mahajan Sep 16 at 21:04

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