The inverse volatility problem for American options

DOI10.3934/DCDSS.2020235zbMath1455.35301OpenAlexW2552308003WikidataQ126316311 ScholiaQ126316311MaRDI QIDQ827510

N. E. Zubov

Publication date: 12 January 2021

Published in: Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdss.2020235

zbMATH Keywords

American optionsconvex functionalinverse volatility

Mathematics Subject Classification ID

Inverse problems for PDEs (35R30) Numerical methods for inverse problems for boundary value problems involving PDEs (65N21) Corporate finance (dividends, real options, etc.) (91G50) Second-order parabolic equations (35K10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options
• A variational method for numerical differentiation
• On the recovery of multiple flow parameters from transient head data
• Volatility calibration with American options
• Lavrentiev’s Theorem and Error Estimation in Elliptic Inverse Problems
• Conditional Well-Posedness for an Elliptic Inverse Problem
• Uniqueness for an Elliptic Inverse Problem
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
• A nonlinear partial differential equation for american options in the entire domain of the state variable
• Calibration of the local volatility in a trinomial tree using Tikhonov regularization
• Sobolev gradients and differential equations

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