# 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
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##### 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
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