Determining the implied volatility in the Dupire equation for vanilla European call options
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Publication:6239233
arXiv1301.7569MaRDI QIDQ6239233FDOQ6239233
Authors: Mourad Bellassoued, R. G. M. Brummelhuis, Michel Cristofol, Eric Soccorsi 
Publication date: 31 January 2013
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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