Ian Knowles, Li Feng, Ajay Mahato
Abstract:
The problem of determining equity volatility from a knowledge of
European call option prices for a range of exercise (strike) prices
and expirations is solved by minimization of a convex functional.
Published February 10, 2014.
Math Subject Classifications: 34B24, 65L09, 45J40.
Key Words: Inverse volatility; European option; Dupire equation;
convex functional.
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Ian Knowles Department of Mathematics University of Alabama at Birmingham Birmingham AL 35294, USA email: iknowles@uab.edu |
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Li Feng Department of Mathematics University of Alabama at Birmingham Birmingham AL 35294, USA email: lifeng@uab.edu |
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Ajay Mahato Department of Mathematics University of Alabama at Birmingham Birmingham AL 35294, USA email: amahato7@gmail.com |
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