AN EXPLICIT IMPLIED VOLATILITY FORMULA

DOI10.1142/S0219024917500480zbMath1415.91290OpenAlexW3124706686MaRDI QIDQ4595301

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 modelapproximation formulaimplied volatilityuniform bounds

Mathematics Subject Classification ID

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

Related Items

TIGHTER BOUNDS FOR IMPLIED VOLATILITY, A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL, A PDE method for estimation of implied volatility

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