Using Householder's method to improve the accuracy of the closed-form formulas for implied volatility

DOI10.1007/S00186-021-00763-9zbMATH Open1485.91228OpenAlexW4200214466WikidataQ113906122 ScholiaQ113906122MaRDI QIDQ2074845FDOQ2074845

Authors: Daniel Wei-Chung Miao, Xenos Chang-Shuo Lin, Chang-Yao Lin 

Publication date: 11 February 2022

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-021-00763-9

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zbMATH Keywords

option pricingimplied volatilityBlack-Scholes formulaHouseholder's method

Mathematics Subject Classification ID

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

Cites Work

• Option pricing when underlying stock returns are discontinuous
• Dynamics of implied volatility surfaces
• Approximate inversion of the Black-Scholes formula using rational functions
• Title not available (Why is that?)
• On the Convergence of Halley's Method
• A review on implied volatility calculation
• A new formula for computing implied volatility
• Challenges in approximating the Black and Scholes call formula with hyperbolic tangents
• On the approximation of the Black and Scholes call function

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