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Journal of Inverse and Ill-posed Problems

Editor-in-Chief: Kabanikhin, Sergey I.

IMPACT FACTOR 2017: 0.941
5-year IMPACT FACTOR: 0.953

CiteScore 2017: 0.91

SCImago Journal Rank (SJR) 2017: 0.461
Source Normalized Impact per Paper (SNIP) 2017: 1.022

Mathematical Citation Quotient (MCQ) 2017: 0.49

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Volume 17, Issue 5


Recover implied volatility of underlying asset from European option price

Lu Lu / Lei Yi
Published Online: 2009-07-06 | DOI: https://doi.org/10.1515/JIIP.2009.031


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.

Key words.: Fredholm integral equation; option pricing; implied volatility; inverse problem

About the article

Received: 2008-11-03

Published Online: 2009-07-06

Published in Print: 2009-07-01

Citation Information: Journal of Inverse and Ill-posed Problems, Volume 17, Issue 5, Pages 499–509, ISSN (Online) 1569-3945, ISSN (Print) 0928-0219, DOI: https://doi.org/10.1515/JIIP.2009.031.

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