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The market is supposed to calculate prices by means of  \\[ dS= S(\\mu(S,t)\\, dt+ \\sigma(S,t)\\, dW_t). \\]  The market ``only'' informs us of the prices of options. In other words, it is given \\(C(K,T)\\), the price of the call with strike \\(K\\) and maturity \\(T\\), for a finite set of values of \\(K\\) and \\(T\\) and we would like to known \\(\\sigma(S,t)\\).    It is well known (Dupire) that \\(C(K,T)\\) satisfies an equation of the form  \\[ \\frac{1}{2} \\sigma^2 \\frac{\\partial^2C}{\\partial K^2}= \\frac{\\partial C}{\\partial T}+ A(T)C+ \\biggl(B(T)+ \\frac{1}{2} \\sigma^2\\biggr) \\frac{\\partial C}{\\partial K},\\tag{1} \\]  for some known functions \\(A\\), \\(B\\) (depending on dividend yield and interest rate).    The numerical procedure goes as follows: Given that \\(C\\) is known at the corners of a certain grid, one transforms a discrete version of (1) into a nonlinear equation whose variable is the value of \\(\\sigma\\) at a nearby point. 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