# American Institute of Mathematical Sciences

December  2020, 13(12): 3473-3489. doi: 10.3934/dcdss.2020235

## The inverse volatility problem for American options

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

* Corresponding author

Received  September 2018 Published  January 2020

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.

Citation: Ian Knowles, Ajay Mahato. The inverse volatility problem for American options. Discrete & Continuous Dynamical Systems - S, 2020, 13 (12) : 3473-3489. doi: 10.3934/dcdss.2020235
##### References:

show all references

##### References:
Flowchart
GOOGLE put option data, 19th April, 2013
Maturity interval $14\le T\le 21$: iterations of $g(S_0, t_0, K, T)$
The functional $G$ for maturity $14\le T\le 21$
Comparing option and recovered prices from the Dupire Equation
 [1] Marc Homs-Dones. A generalization of the Babbage functional equation. Discrete & Continuous Dynamical Systems - A, 2021, 41 (2) : 899-919. doi: 10.3934/dcds.2020303 [2] Gunther Uhlmann, Jian Zhai. Inverse problems for nonlinear hyperbolic equations. Discrete & Continuous Dynamical Systems - A, 2021, 41 (1) : 455-469. doi: 10.3934/dcds.2020380 [3] Sumit Arora, Manil T. Mohan, Jaydev Dabas. Approximate controllability of a Sobolev type impulsive functional evolution system in Banach spaces. Mathematical Control & Related Fields, 2020  doi: 10.3934/mcrf.2020049 [4] Martin Heida, Stefan Neukamm, Mario Varga. Stochastic homogenization of $\Lambda$-convex gradient flows. Discrete & Continuous Dynamical Systems - S, 2021, 14 (1) : 427-453. doi: 10.3934/dcdss.2020328 [5] Yi-Hsuan Lin, Gen Nakamura, Roland Potthast, Haibing Wang. Duality between range and no-response tests and its application for inverse problems. Inverse Problems & Imaging, , () : -. doi: 10.3934/ipi.2020072 [6] Kha Van Huynh, Barbara Kaltenbacher. Some application examples of minimization based formulations of inverse problems and their regularization. Inverse Problems & Imaging, , () : -. doi: 10.3934/ipi.2020074 [7] Bo Chen, Youde Wang. Global weak solutions for Landau-Lifshitz flows and heat flows associated to micromagnetic energy functional. Communications on Pure & Applied Analysis, 2021, 20 (1) : 319-338. doi: 10.3934/cpaa.2020268 [8] Dan Zhu, Rosemary A. Renaut, Hongwei Li, Tianyou Liu. Fast non-convex low-rank matrix decomposition for separation of potential field data using minimal memory. Inverse Problems & Imaging, , () : -. doi: 10.3934/ipi.2020076 [9] Lingfeng Li, Shousheng Luo, Xue-Cheng Tai, Jiang Yang. A new variational approach based on level-set function for convex hull problem with outliers. Inverse Problems & Imaging, , () : -. doi: 10.3934/ipi.2020070 [10] Bernard Bonnard, Jérémy Rouot. Geometric optimal techniques to control the muscular force response to functional electrical stimulation using a non-isometric force-fatigue model. Journal of Geometric Mechanics, 2020  doi: 10.3934/jgm.2020032 [11] Wenbin Li, Jianliang Qian. Simultaneously recovering both domain and varying density in inverse gravimetry by efficient level-set methods. Inverse Problems & Imaging, , () : -. doi: 10.3934/ipi.2020073 [12] Noriyoshi Fukaya. Uniqueness and nondegeneracy of ground states for nonlinear Schrödinger equations with attractive inverse-power potential. Communications on Pure & Applied Analysis, 2021, 20 (1) : 121-143. doi: 10.3934/cpaa.2020260 [13] Kai Yang. Scattering of the focusing energy-critical NLS with inverse square potential in the radial case. Communications on Pure & Applied Analysis, 2021, 20 (1) : 77-99. doi: 10.3934/cpaa.2020258 [14] Lei Liu, Li Wu. Multiplicity of closed characteristics on $P$-symmetric compact convex hypersurfaces in $\mathbb{R}^{2n}$. Discrete & Continuous Dynamical Systems - A, 2020  doi: 10.3934/dcds.2020378 [15] Oussama Landoulsi. Construction of a solitary wave solution of the nonlinear focusing schrödinger equation outside a strictly convex obstacle in the $L^2$-supercritical case. Discrete & Continuous Dynamical Systems - A, 2021, 41 (2) : 701-746. doi: 10.3934/dcds.2020298

2019 Impact Factor: 1.233