On the approximation of the Black and Scholes call function

DOI10.1016/j.cam.2020.113154zbMath1469.91065OpenAlexW3082827375MaRDI QIDQ2222059

Giuseppe Orlando, Giovanni Taglialatela

Publication date: 3 February 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2020.113154

zbMATH Keywords

inverse problemimplied volatilityhyperbolic tangentBlack and Scholes model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32)

Related Items (4)

Stochastic local volatility models and the Wei-Norman factorization method ⋮ Challenges in approximating the Black and Scholes call formula with hyperbolic tangents ⋮ Using Householder's method to improve the accuracy of the closed-form formulas for implied volatility ⋮ An improved Barone-Adesi Whaley formula for turbulent markets

Cites Work

• A review on implied volatility calculation
• Approximate inversion of the Black-Scholes formula using rational functions
• A new formula for computing implied volatility
• Numerical Approximation of Black-Scholes Equation
• A Formula to Compute Implied Volatility, with Error Estimate
• TIGHTER BOUNDS FOR IMPLIED VOLATILITY
• Generalized spectral estimation of the consumption-based asset pricing model
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