A Formula to Compute Implied Volatility, with Error Estimate

DOI10.4036/IIS.2009.267zbMATH Open1176.91154OpenAlexW2070487103MaRDI QIDQ3648331FDOQ3648331

Authors: Song Liang, Yoshihiro Tahara 

Publication date: 25 November 2009

Published in: Interdisciplinary Information Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4036/iis.2009.267

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zbMATH Keywords

Black-Scholes modelimplied volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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• A modified Corrado-Miller implied volatility estimator
• AN EXPLICIT IMPLIED VOLATILITY FORMULA
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• Title not available (Why is that?)
• A new formula for computing implied volatility
• Challenges in approximating the Black and Scholes call formula with hyperbolic tangents
• On the approximation of the Black and Scholes call function
• Numerical approximation of the implied volatility under arithmetic Brownian motion

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