A penalty-based method from reconstructing smooth local volatility surface from American options

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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...

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Bibliographic Details
Main Authors:	Zhang, K., Teo, Kok Lay
Format:	Journal Article
Published:	American Institute of Mathematical Sciences 2015
Online Access:	http://hdl.handle.net/20.500.11937/3463

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