A note on computation of implied volatility

DOI10.1023/A:1020695629589MaRDI QIDQ1417042zbMATH OpenFDO

Authors Yoshiteru Kagenishi, Yoshitane Shinohara

Publication date 18 December 2003

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/A:1020695629589

zbMATH Keywords

Black-Scholes modelnumerical analysisverification theorem

Mathematics Subject Classification ID

Cited in

(3)

• A Remark on Gatheral’s ‘Most-Likely Path Approximation’ of Implied Volatility
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• An adaptive successive over-relaxation method for computing the Black–Scholes implied volatility

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