The inverse volatility problem for American options

Ian Knowles, ,Department of Mathematics, University of Alabama at Birmingham, Birmingham, AL 35294, USA, Ajay Mahato
2018 Discrete and Continuous Dynamical Systems. Series S  
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