Determining the implied volatility in the Dupire equation for vanilla European call options
Analysis of PDEs
2013-02-05 v2
Abstract
The Black-Scholes model gives vanilla Europen call option prices as a function of the volatility. We prove Lipschitz stability in the inverse problem of determining the implied volatility, which is a function of the underlying asset, from a collection of quoted option prices with different strikes.
Keywords
Cite
@article{arxiv.1301.7569,
title = {Determining the implied volatility in the Dupire equation for vanilla European call options},
author = {Mourad Bellassoued and Raymond Brummelhuis and Michel Cristofol and Eric Soccorsi},
journal= {arXiv preprint arXiv:1301.7569},
year = {2013}
}