Model-free backward and forward nonlinear PDEs for implied volatility

The authors derive backward and forward nonlinear partial differential equations that govern the implied volatility of a contingent claim whenever the latter is well defined. This would include at least any contingent claim written on a positive stock price whose payoff at a possibly random time is convex. The authors also discuss suitable initial and boundary conditions for those partial differential equations. Finally, we demonstrate how to solve them numerically by using an iterative finite-difference approach.