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Recover implied volatility of underlying asset from European option price.
- Source :
-
Journal of Inverse & Ill-Posed Problems . 2009, Vol. 17 Issue 5, p499-509. 11p. 5 Graphs. - Publication Year :
- 2009
-
Abstract
- In this paper, we introduce a method for recovering implied volatility from European option price. Under some assumptions, an integral equation can be obtained from Dupire equation, and we show the local uniqueness and stability of implied volatility. In the end of this paper, we give some numerical examples to show that the new treatment is effective. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 09280219
- Volume :
- 17
- Issue :
- 5
- Database :
- Academic Search Index
- Journal :
- Journal of Inverse & Ill-Posed Problems
- Publication Type :
- Academic Journal
- Accession number :
- 47102189
- Full Text :
- https://doi.org/10.1515/JIIP.2009.031