Determining the implied volatility in the Dupire equation for vanilla European call options

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.

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Additional Info

Field Value
Source https://hal.science/hal-00782927
Author Bellassoued, Mourad, Brummelhuis, Raymond, Cristofol, Michel, Soccorsi, Eric
Maintainer CCSD
Last Updated May 14, 2026, 17:16 (UTC)
Created May 14, 2026, 17:16 (UTC)
Identifier hal-00782927
Language en
Rights https://about.hal.science/hal-authorisation-v1/
contributor Faculté des Sciences de Bizerte [Université de Carthage] ; Université de Carthage (Tunisie) = University of Carthage (UCAR)
creator Bellassoued, Mourad
date 2013-01-30T00:00:00
harvest_object_id f092edfa-ca2e-4f72-af28-26328e2a0eb1
harvest_source_id 3374d638-d20b-4672-ba96-a23232d55657
harvest_source_title test moissonnage SELUNE
metadata_modified 2025-05-22T00:00:00
relation info:eu-repo/semantics/altIdentifier/arxiv/1301.7569
set_spec type:UNDEFINED