Implied volatility under BS-BHM-updated model using Newton Raphson method

MaRDI QIDQ3454013zbMATH OpenFDO

Authors Mutijah, Suryo Guritno, Gunardi

Publication date 2 December 2015

Full work available at URL http://www.ceser.in/ceserp/index.php/ijamas/article/view/3650

zbMATH Keywords

BS-BHM-updated modelEuropean call option pricingNewton Raphson methodvolatility

Mathematics Subject Classification ID

Numerical computation of solutions to systems of equations (65H10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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(2)

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