A new formula for computing implied volatility

DOI10.1016/J.AMC.2004.12.034MaRDI QIDQ2572045zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

VolatilityOptionsImplied volatility

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 44443 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• The pricing of options and corporate liabilities

Cited in

(24)

• 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
• A modified Corrado-Miller implied volatility estimator
• Alternative results for option pricing and implied volatility in jump-diffusion models using Mellin transforms
• Alternative specifications of the errors in the Black-Scholes option-pricing model and various implied-variance formulas
• Total variation regularization analysis for inverse volatility option pricing problem
• A review on implied volatility calculation
• scientific article; zbMATH DE number 2163491 (Why is no real title available?)
• Option prices and stock market momentum: evidence from China
• On implied volatility surface construction for stochastic investment models
• A bias in the volatility smile
• Uniform bounds for Black-Scholes implied volatility
• A Formula to Compute Implied Volatility, with Error Estimate
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• The adjoint method for the inverse problem of option pricing
• Using Householder's method to improve the accuracy of the closed-form formulas for implied volatility
• On the approximation of the Black and Scholes call function
• A PDE method for estimation of implied volatility
• Tighter bounds for implied volatility
• IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS
• A new algorithm for computing implied volatility
• An explicit implied volatility formula
• Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations
• Implied volatility under BS-BHM-updated model using Newton Raphson method

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