Numerical approximation of the implied volatility under arithmetic Brownian motion

DOI10.1080/13504860802583436MaRDI QIDQ3652695zbMATH OpenOpenAlexFDO

Authors Jaehyuk Choi, Kwangmoon Kim, Minsuk Kwak

Publication date 16 December 2009

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860802583436

zbMATH Keywords

arithmetic Brownian motionbasis point volatilityclosed form approximationnormal implied volatilityrational approximation

Mathematics Subject Classification ID

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

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Cites work

• Approximate inversion of the Black-Scholes formula using rational functions
• scientific article; zbMATH DE number 236854 (Why is no real title available?)
• Pricing and Hedging Spread Options
• The pricing of options and corporate liabilities

Cited in

(10)

• Numerical techniques for determining implied volatility in option pricing
• Model-free stochastic collocation for an arbitrage-free implied volatility. I.
• A review on implied volatility calculation
• Approximate inversion of the Black-Scholes formula using rational functions
• Fast swaption pricing in Gaussian term structure models
• Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations
• A parametrized barycentric approximation for inverse problems with application to the Black-Scholes formula
• A PDE method for estimation of implied volatility
• An adaptive successive over-relaxation method for computing the Black–Scholes implied volatility
• A NUMERICAL METHOD TO COMPUTE THE VOLATILITY OF THE FRACTIONAL BROWNIAN MOTION IMPLIED BY AMERICAN OPTIONS

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