Calibration of the purely T-dependent Black-Scholes implied volatility

摘要

We consider the problem of recovering an implied volatility σ = σ(t) from the data of option price. We improve results of Hein and Hofmann, and Kramer and Richter. In fact, we shall construct an elementary regularization. Then, we give an explicit formula of the regularization parameter. An explicit error estimate is also given.