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

DOI10.1007/S00186-021-00763-9MaRDI QIDQ2074845zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

option pricingimplied volatilityBlack-Scholes formulaHouseholder's method

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3383473 (Why is no real title available?)
• A new formula for computing implied volatility
• A review on implied volatility calculation
• Approximate inversion of the Black-Scholes formula using rational functions
• Challenges in approximating the Black and Scholes call formula with hyperbolic tangents
• Dynamics of implied volatility surfaces
• On the Convergence of Halley's Method
• On the approximation of the Black and Scholes call function
• Option pricing when underlying stock returns are discontinuous

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