Approximate inversion of the Black-Scholes formula using rational functions
From MaRDI portal
Publication:2455635
DOI10.1016/j.ejor.2006.12.028zbMath1137.91459OpenAlexW2075588693MaRDI QIDQ2455635
Publication date: 25 October 2007
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2006.12.028
dimension reductionrational approximationimplied volatilityBlack-Scholes formulaclosed-form inversion
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (16)
Analytic models for parameter dependency in option price modelling ⋮ An adaptive successive over-relaxation method for computing the Black–Scholes implied volatility ⋮ FAST COMPUTATION OF VANILLA PRICES IN TIME-CHANGED MODELS AND IMPLIED VOLATILITIES USING RATIONAL APPROXIMATIONS ⋮ Numerical treatment of stochastic models used in statistical systems and financial markets ⋮ Index of function inversion ⋮ AN EXPLICIT IMPLIED VOLATILITY FORMULA ⋮ A practical error formula for multivariate rational interpolation and approximation ⋮ On the approximation of the Black and Scholes call function ⋮ Multivariate data fitting with error control ⋮ Analytical approximations for the critical stock prices of American options: a performance comparison ⋮ The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications ⋮ A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes ⋮ Challenges in approximating the Black and Scholes call formula with hyperbolic tangents ⋮ Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion ⋮ Using Householder's method to improve the accuracy of the closed-form formulas for implied volatility ⋮ A PDE method for estimation of implied volatility
Cites Work
- The Pricing of Options and Corporate Liabilities
- Contingent Claims and Market Completeness in a Stochastic Volatility Model
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Option pricing when underlying stock returns are discontinuous
- Rational Chebyshev Approximations for the Error Function
- A Simplex Method for Function Minimization
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Approximate inversion of the Black-Scholes formula using rational functions
