A new algorithm for computing implied volatility

DOI10.2139/SSRN.1857206MaRDI QIDQ2923095zbMATH OpenOpenAlexFDO

Authors Kawee Numpacharoen, Kornkanok Bunwong

Publication date 15 October 2014

Published in East-West Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2139/ssrn.1857206

zbMATH Keywords

Black-Scholes formulaEuropean optionsimplied volatilityoption pricing

Mathematics Subject Classification ID

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

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(6)

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• A review on implied volatility calculation
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• Implied volatility under BS-BHM-updated model using Newton Raphson method
• A Formula to Compute Implied Volatility, with Error Estimate
• An adaptive successive over-relaxation method for computing the Black–Scholes implied volatility

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