INVERSE VOLATILITY PROBLEM FOR CURRENCY OPTIONS

被引：0

作者：

Knowles, Ian ^{[1
]}

Tamang, Sundar ^{[2
]}

机构：

[1] Univ Alabama Birmingham, Dept Math, Birmingham, AL 35294 USA

[2] Western New Mexico Univ, Dept Math & Comp Sci, Silver City, NM 88062 USA

来源：

ELECTRONIC JOURNAL OF DIFFERENTIAL EQUATIONS | 2023年

关键词：

Inverse volatility; European FX options; convex functional; UNIQUENESS;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In transactions associated with future-oriented financial instruments, such as options, a huge amount of data is available buried inside of which is the market's best guess as to what the future holds. We consider here the possibility of extracting future foreign exchange volatility information from foreign exchange option data with the aid of a new computational inverse algorithm using minimization of a convex functional.

引用

页码：161 / 173

页数：13

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