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
Recover implied volatility of underlying asset from European option price
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.
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