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https://ecommons.cornell.edu/entities/publication/0a6c36dc-3ce7-4796-a487-f76d0fe8f3f9
An MPEC Approach to Inverse Pricing of American Options: The Case of an Implied Volatility Surface
This paper presents a novel approach to deal with the computation of an implied volatility surface of American options written on a risky asset. The approach...
implied volatility surfaceamerican optionsthe casempecapproach
