THE INVERSE VOLATILITY PROBLEM FOR AMERICAN OPTIONS

IAN KNOWLES; AJAY MAHATO

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THE INVERSE VOLATILITY PROBLEM FOR AMERICAN OPTIONS

机译：美国选项的反向波动问题

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摘要

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.

机译：通过最小化凸起功能来解决从美国选项价格和expiration的知识确定股权波动的问题。

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来源
《Discrete and continuous dynamical systems▼hSeries S》 |2020年第12期|3473-3489|共17页
作者
IAN KNOWLES; AJAY MAHATO;
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作者单位

Department of Mathematics University of Alabama at Birmingham Birmingham AL 35294 USA;

Department of Mathematics University of Alabama at Birmingham Birmingham AL 35294 USA;

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原文格式 PDF
正文语种 eng
中图分类
关键词
Inverse volatility; American options; convex functional;

机译：反向波动;美国人选择;凸起功能;

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1. An inverse problem for a parabolic variational inequality arising in volatility calibration with American options [J] . Achdou Y SIAM Journal on Control and Optimization . 2005,第5期

机译：使用美国期权进行波动率校准时抛物线变分不等式的反问题
2. Calibrating local volatility in inverse option pricing using the LevenbergMarquardt method [J] . Lakhal A., Lakhal M.M., Louis A.K. Journal of inverse and ill-posed problems . 2010,第5期

机译：使用LevenbergMarquardt方法校正反向期权定价中的本地波动率
3. An inverse problem of determining the implied volatility in option pricing [J] . Deng ZC, Yu HN, Yang L Journal of Mathematical Analysis and Applications . 2008,第1期

机译：确定期权定价中隐含波动率的反问题
4. Generalized ant programming in option pricing: determining implied volatilities based on American put options [C] . Keber, C., Schuster, . 2003

机译：期权定价中的广义蚂蚁编程：基于美国看跌期权确定隐含波动率
5. The inverse volatility problem for American options. [D] . Mahato, Ajay. 2014

机译：美式期权的逆波动率问题。
6. Potentiation of GABAA receptor activity by volatile anaesthetics is reduced by α5GABAA receptor-preferring inverse agonists [O] . I. Lecker, Y. Yin, D. S. Wang, -1

机译：首选α5GABAA受体反向激动剂降低了挥发性麻醉剂对GABAA受体活性的增强作用
7. The inverse volatility problem for American options [O] . Ian Knowles, Ajay Mahato 2018

机译：美国选项的反向波动问题

THE INVERSE VOLATILITY PROBLEM FOR AMERICAN OPTIONS

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