Determining the implied volatility in the Dupire equation for vanilla European call options (1301.7569v2)

Published 31 Jan 2013 in math.AP

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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