search query: @indexterm MATHEMATICAL PROGRAMMING / total: 256
reference: 16 / 256
| Author: | Huang, J. Pang, J.-S. |
| Title: | A mathematical programming with equilibrium constraints approach to the implied volatility surface of American options |
| Journal: | Journal of Computational Finance
2001 : FALL, VOL. 4:1, p. 21-56 |
| Index terms: | Mathematical programming Equilibrium theory Options |
| Language: | eng |
| Abstract: | This paper presents a novel approach to the computation of an implied volatility surface of American options written on risky assets. The approach is based on the simple observation that this computational problem is the inverse of the forward-pricing problem of American options. Two methods for solving an MPEC are described and applied to the problem of computing an implied volatility surface of American options. |
SCIMA