An explicit implied volatility formula

DOI10.1142/S0219024917500480MaRDI QIDQ4595301zbMATH OpenOpenAlexFDO

Authors Dan Stefanica, Radoš Radoičić

Publication date 29 November 2017

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024917500480

zbMATH Keywords

Black-Scholes modelimplied volatilityuniform boundsapproximation formula

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• scientific article; zbMATH DE number 3060437 (Why is no real title available?)
• A Formula to Compute Implied Volatility, with Error Estimate
• A new formula for computing implied volatility
• A sharp Pólya-based approximation to the normal cumulative distribution function
• An adaptive successive over-relaxation method for computing the Black–Scholes implied volatility
• Approximate inversion of the Black-Scholes formula using rational functions
• Asymptotics of implied volatility to arbitrary order
• Rational Chebyshev Approximations for the Error Function
• The pricing of options and corporate liabilities
• Tighter bounds for implied volatility
• Uniform bounds for Black-Scholes implied volatility

Cited in

(19)

• A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model
• Tighter bounds for implied volatility
• Options on bonds: implied volatilities from affine short-rate dynamics
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• A parametrized barycentric approximation for inverse problems with application to the Black-Scholes formula
• On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation
• A new formula for computing implied volatility
• Challenges in approximating the Black and Scholes call formula with hyperbolic tangents
• Uniform bounds for Black-Scholes implied volatility
• A PDE method for estimation of implied volatility
• Can there be an explicit formula for implied volatility?
• From characteristic functions to implied volatility expansions
• Using Householder's method to improve the accuracy of the closed-form formulas for implied volatility
• Coupling smiles
• Volatility in options formulae for general stochastic dynamics
• A Formula to Compute Implied Volatility, with Error Estimate
• Approximate inversion of the Black-Scholes formula using rational functions
• Numerical approximation of the implied volatility under arithmetic Brownian motion
• On approximation of implied volatility in local volatility models

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