货币期权的逆波动性问题

IF 0.8 4区数学 Q2 MATHEMATICS

Electronic Journal of Differential Equations Pub Date : 2023-03-27 DOI:10.58997/ejde.sp.02.k1

I. Knowles, Sundar Tamang

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引用次数: 0

摘要

在与面向未来的金融工具(如期权)相关的交易中，有大量可用的数据隐藏在其中，这些数据是市场对未来的最佳猜测。本文考虑了利用凸泛函最小化的一种新的计算逆算法从外汇期权数据中提取未来外汇波动信息的可能性。参见https://ejde.math.txstate.edu/special/02/k1/abstr.html

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Inverse volatility problem for currency options

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. See also https://ejde.math.txstate.edu/special/02/k1/abstr.html

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来源期刊

Electronic Journal of Differential Equations MATHEMATICS, APPLIED-MATHEMATICS

CiteScore

1.50

自引率

14.30%

发文量

审稿时长

3 months

期刊介绍： All topics on differential equations and their applications (ODEs, PDEs, integral equations, delay equations, functional differential equations, etc.) will be considered for publication in Electronic Journal of Differential Equations.