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arXiv · 1301.7569

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

Mourad Bellassoued·Raymond Brummelhuis·Michel Cristofol·Eric Soccorsi
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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.

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Mourad Bellassoued, Raymond Brummelhuis, Michel Cristofol, Eric Soccorsi. 2013-01-31. Determining the implied volatility in the Dupire equation for vanilla European call options. https://arxiv.org/abs/1301.7569

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