%0 Unpublished work
%T Determining the implied volatility in the Dupire equation for vanilla European call options
%+ Faculté des Sciences de Bizerte [Université de Carthage]
%+ Laboratoire de Mathématiques de Reims (LMR)
%+ Laboratoire d'Analyse, Topologie, Probabilités (LATP)
%+ Centre de Physique Théorique - UMR 7332 (CPT)
%A Bellassoued, Mourad
%A Brummelhuis, Raymond
%A Cristofol, Michel
%A Soccorsi, Eric
%8 2013-01-30
%D 2013
%Z 1301.7569
%K Inverse problem
%K Black-Scholes model
%K Dupire equation
%K implied volatility
%Z Mathematics [math]/Analysis of PDEs [math.AP]Preprints, Working Papers, ...
%X 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.
%G English
%2 https://hal.science/hal-00782927v3/document
%2 https://hal.science/hal-00782927v3/file/impvol1.pdf
%L hal-00782927
%U https://hal.science/hal-00782927
%~ UNIV-TLN
%~ LATP
%~ CNRS
%~ UNIV-AMU
%~ URCA
%~ CPT
%~ EC-MARSEILLE
%~ I2M
%~ TDS-MACS
%~ LMR
%~ CPT-DQAS