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Applicable Analysis
An International Journal
Volume 85, 2006 - Issue 6-7
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Original Articles

Recovering the local volatility in Black–Scholes model by numerical differentiation

Binbin Yin Institute of Mathematics, School of Mathematical Sciences, Fudan University, Shanghai 200433, ChinaCorrespondence[email protected] [email protected]
&
Yuzhang Ye Institute of Mathematics, School of Mathematical Sciences, Fudan University, Shanghai 200433, China
Pages 681-692 | Received 04 Mar 2005, Accepted 31 Dec 2005, Published online: 28 Nov 2010

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