This paper proposes a new innovative method for the calibration of local volatility under Dupire's model. First, our proposed method approximates the Arrow-Debreu(AD) prices on the finite difference nodes as a low-dimensional function based on implied distribution estimation. This makes the...

We present a highly mechanical method for the construction of implied volatility surface and implied transition probability density function that satisfies the no arbitrage condition(NAC) under missing data environment. This paper assumes a Dupire's model which is a simple extension of the...