Chiarella, Carl; Craddock, Mark; El-Hassan, Nadima - In: Computational Economics 22 (2003) 2, pp. 113-138
We analyse the Bouchouev integral equation for the deterministic volatility function in the Black–Scholes option pricing model. We areable to reduce Bouchouev's original triple integral equation to a single integral equation and describe its numerical solution. Moreover we show empirically...