An explicit implied volatility formula

DOI10.1142/S0219024917500480zbMATH Open1415.91290OpenAlexW3124706686MaRDI QIDQ4595301FDOQ4595301

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

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zbMATH Keywords

Black-Scholes modelimplied volatilityuniform boundsapproximation formula

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• Asymptotics of implied volatility to arbitrary order
• Approximate inversion of the Black-Scholes formula using rational functions
• Rational Chebyshev Approximations for the Error Function
• Title not available (Why is that?)
• An adaptive successive over-relaxation method for computing the Black–Scholes implied volatility
• A new formula for computing implied volatility
• A Formula to Compute Implied Volatility, with Error Estimate
• Tighter bounds for implied volatility
• Uniform bounds for Black-Scholes implied volatility
• A sharp Pólya-based approximation to the normal cumulative distribution function

Cited In (19)

• A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model
• Tighter bounds for implied volatility
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• Options on bonds: implied volatilities from affine short-rate dynamics
• 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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