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