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The inverse volatility problem for American options
2018
Discrete and Continuous Dynamical Systems. Series S
Preserved Fulltext
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.
doi:10.3934/dcdss.2020235
fatcat:p6exx5iw2bcfpn6y6i3lpotcdq