An algorithm for estimating implied volatility in equity-linked securities

DOI10.12941/JKSIAM.2025.29.255MaRDI QIDQ6846854zbMATH OpenFDO

Authors Donggwon Choi, Zhengang Li, Yunjae Nam, Junseok Kim

Publication date 11 March 2026

Published in Journal of the Korean Society for Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.12941/JKSIAM.2025.29.255

zbMATH Keywords

Black-Scholes equationequity-linked securitiesimplied volatilitynumerical optimization

Mathematics Subject Classification ID

Controllability (93B05)

Cites work

• Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations
• Comparison of numerical schemes on multi-dimensional Black-Scholes equations
• Simulation of Arbitrage-Free Implied Volatility Surfaces
• Time-frequency information transmission among financial markets: evidence from implied volatility

Cited in

(1)

• A numerical scheme for the implied volatility estimation of two-asset equity-linked securities

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