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A Well-Posed Algorithm to Recover Implied Volatility
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology.
2012 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

Implied volatility plays a very important role in financial sector. In the assets of trading market,everyone wants to know the implied volatility in the future. However,it is difficult to predict it. In this paper,we use a new well-posed algorithm to recover implied volatility under the Black-Scholes theoretical framework. I reproduce this algorithm at first,then prove its stability and give some examples to test. The results show that this algorithm can work and the error is small. We can use it inpractice.

Place, publisher, year, edition, pages
2012.
Series
IT, 12 006
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:uu:diva-169441OAI: oai:DiVA.org:uu-169441DiVA: diva2:506716
Educational program
Master Programme in Computational Science
Uppsok
Technology
Supervisors
Examiners
Available from: 2012-02-29 Created: 2012-02-29 Last updated: 2012-02-29Bibliographically approved

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CiteExportLink to record
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