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Determining the implied volatility in the Dupire equation for vanilla European call options

M. Bellassoued,R. Brummelhuis,Michel Cristofol,É. Soccorsi

2013 · ArXiv: 1301.7569
2 Citations

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.