Using Householder's method to improve the accuracy of the closed-form formulas for implied volatility

DOI10.1007/s00186-021-00763-9zbMath1485.91228OpenAlexW4200214466WikidataQ113906122 ScholiaQ113906122MaRDI QIDQ2074845

Chang-Yao Lin, Daniel Wei-Chung Miao, Xenos Chang-Shuo Lin

Publication date: 11 February 2022

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-021-00763-9

zbMATH Keywords

option pricingimplied volatilityBlack-Scholes formulaHouseholder's method

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• Challenges in approximating the Black and Scholes call formula with hyperbolic tangents
• On the approximation of the Black and Scholes call function
• A review on implied volatility calculation
• Approximate inversion of the Black-Scholes formula using rational functions
• A new formula for computing implied volatility
• On the Convergence of Halley's Method
• Dynamics of implied volatility surfaces
• Option pricing when underlying stock returns are discontinuous

This page was built for publication: Using Householder's method to improve the accuracy of the closed-form formulas for implied volatility