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Recover implied volatility of underlying asset from European option price.

Authors :
Lu Lu
Lei Yi
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