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

Autor:	Bellassoued, Mourad, Brummelhuis, Raymond, Cristofol, Michel, Soccorsi, Eric
Rok vydání:	2013
Předmět:	Mathematics - Analysis of PDEs
Druh dokumentu:	Working Paper
Popis:	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.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1301.7569 Zobrazit plný text záznamu View this record from Arxiv