AMCA: Computation and Stability of the implied Volatility by Jimbo Henri Claver

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Fourth International Conference on Dynamic Systems and Applications
May 21-24, 2003
Department of Mathematics, Morehouse College
Atlanta, GA, USA

Organizers
M. Sambandham

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Computation and Stability of the implied Volatility
by
Jimbo Henri Claver
Advanced Research Center for Science and Engineering, Waseda University, Room 59-416B Okubo,Shinjuku-ku, Tokyo 169-8555 Japan

We investigate a problem of evaluating the implied volaility and it stability in a B-S model for a call option. We provide a starting value for an iteration of the Newton-Raphson algorithm and improve the the convergence of the iteration process by the Lusternik method. Finally we study the stability (liapunov) through the uniform convergence.

Date received: January 18, 2003

Copyright © 2003 by the author(s). The author(s) of this document and the organizers of the conference have granted their consent to include this abstract in Atlas Mathematical Conference Abstracts. Document # cajw-79.