Special Issue in honor of John W. Neuberger. Electron. J. Diff. Eqns., Special Issue 02 (2023), pp. 161-173.

Inverse volatility problem for currency options

Ian Knowles, Sundar Tamang

Abstract:
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.

Published March 27, 2023.
Math Subject Classifications: 35K10, 65N21.
Key Words: Inverse volatility; European FX options; convex functional.
DOI: https://doi.org/10.58997/ejde.sp.02.k1

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Ian Knowles
Department of Mathematics
University of Alabama at Birmingham
Birmingham AL 35294, USA
email: iknowles@uab.edu
Sundar Tamang
Department of Math and Computer Science
Western New Mexico University
Silver City, NM 88062, USA
email: sundar.tamang@wnmu.edu

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