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| Author: | McIntyre, M. L. |
| Title: | Performance of Dupire's implied diffusion approach under sparse and incomplete data |
| Journal: | Journal of Computational Finance
2001 : SUMMER, VOL. 4:4, p. 33-84 |
| Index terms: | OPTIONS OPTION PRICES OPTION VALUATION MATHEMATICAL MODELS |
| Language: | eng |
| Abstract: | The richness of the option price data that is readily available to traders and others suggests the possibility of inverting this cross- sectional data to obtain a specification for a stochastic process that might be driving the observed prices. The effectiveness of all of these approaches is affected by the spacing of the available option price observations in the time to maturity and strike price dimensions. |
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