The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology

We analyse the procedure for determining volatility presented by Lagnado and Osher, and explain in some detail where the scheme comes from. We present an alternative scheme which avoids some of the technical complications arising in Lagnado and Osher's approach. An algorithm for solving the resulting equations is given, along with a selection of numerical examples.

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Year of publication:	2000-03-01
Authors:	Chiarella, Carl ; Craddock, Mark ; El-Hassan, Nadima
Institutions:	Finance Discipline Group, Business School

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Extent:	application/pdf
Series:	Research Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 39
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10004984521