A new formula for computing implied volatility

DOI10.1016/J.AMC.2004.12.034zbMATH Open1124.91034OpenAlexW2060344833MaRDI QIDQ2572045FDOQ2572045

Authors: Steven Li 

Publication date: 14 November 2005

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

Full work available at URL: https://doi.org/10.1016/j.amc.2004.12.034

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zbMATH Keywords

VolatilityOptionsImplied volatility

Mathematics Subject Classification ID

Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

Cites Work

• The pricing of options and corporate liabilities
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (20)

• A modified Corrado-Miller implied volatility estimator
• AN EXPLICIT IMPLIED VOLATILITY FORMULA
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
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• Total variation regularization analysis for inverse volatility option pricing problem
• On Implied Volatility Surface Construction for Stochastic Investment Models
• The adjoint method for the inverse problem of option pricing
• IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS
• Option prices and stock market momentum: evidence from China
• A review on implied volatility calculation
• Challenges in approximating the Black and Scholes call formula with hyperbolic tangents
• ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY
• On the approximation of the Black and Scholes call function
• A PDE method for estimation of implied volatility
• TIGHTER BOUNDS FOR IMPLIED VOLATILITY
• A bias in the volatility smile
• Using Householder's method to improve the accuracy of the closed-form formulas for implied volatility
• Uniform Bounds for Black--Scholes Implied Volatility
• Alternative results for option pricing and implied volatility in jump-diffusion models using Mellin transforms
• A Formula to Compute Implied Volatility, with Error Estimate

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