A review on implied volatility calculation

DOI10.1016/j.cam.2017.02.002zbMath1371.91181OpenAlexW2591174527MaRDI QIDQ2400325

Giuseppe Orlando, Giovanni Taglialatela

Publication date: 28 August 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2017.02.002

zbMATH Keywords

implied volatilitynumerical calculusquantitative methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical computation of solutions to single equations (65H05)

Related Items (11)

Solving Black-Scholes equations using fractional generalized homotopy analysis method ⋮ Computation of the unknown volatility from integral option price observations in jump-diffusion models ⋮ Stochastic local volatility models and the Wei-Norman factorization method ⋮ Numerical Identification of Time-Dependent Volatility in European Options with Two-Stage Regime-Switching ⋮ On the approximation of the Black and Scholes call function ⋮ Fast reconstruction of time-dependent market volatility for European options ⋮ Challenges in approximating the Black and Scholes call formula with hyperbolic tangents ⋮ Using Householder's method to improve the accuracy of the closed-form formulas for implied volatility ⋮ A PDE method for estimation of implied volatility ⋮ An improved Barone-Adesi Whaley formula for turbulent markets ⋮ On Implied Volatility Surface Construction for Stochastic Investment Models

Uses Software

• CompEcon

Cites Work

• The Pricing of Options and Corporate Liabilities
• A new formula for computing implied volatility
• A Stable Algorithm for Computing the Inverse Error Function in the "Tail-End" Region
• On the Calculation of the Inverse of the Error Function.
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: A review on implied volatility calculation