A penalty-based method from reconstructing smooth local volatility surface from American options
This paper is devoted to develop a robust penalty-based method of reconstructing smooth local volatility surface from the observed American option prices. This reconstruction problem is posed as an inverse problem: given a nite set of observed American option prices, nd a local volatility function...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
American Institute of Mathematical Sciences
2015
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| Online Access: | http://hdl.handle.net/20.500.11937/3463 |