Open AccessThe inverse volatility problem for American options
Author(s) -
Ian Knowles,
Ajay Kumar Mahato
Publication year - 2020
Publication title -
discrete and continuous dynamical systems - s
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.481
H-Index - 34
eISSN - 1937-1632
pISSN - 1937-1179
DOI - 10.3934/dcdss.2020235
Subject(s) - volatility (finance) , volatility smile , econometrics , equity (law) , implied volatility , minification , economics , inverse , stochastic volatility , sabr volatility model , financial economics , mathematics , mathematical optimization , geometry , political science , law
The problem of determining equity volatility from a knowledge of American option prices for a range of exercise (strike) prices and expirations is solved by minimization of a convex functional.
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom