An adaptive successive over-relaxation method for computing the Black–Scholes implied volatility (Q5300448)
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scientific article; zbMATH DE number 6181860
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| English | An adaptive successive over-relaxation method for computing the Black–Scholes implied volatility |
scientific article; zbMATH DE number 6181860 |
Statements
An adaptive successive over-relaxation method for computing the Black–Scholes implied volatility (English)
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27 June 2013
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successive over-relaxation
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Black-Scholes formula
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implied volatility
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rational approximation
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0.8714254
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0.8674165
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0.86544985
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0.86069024
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0.85751724
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0.8526928
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0.8514257
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