Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion

DOI10.1080/13504860802583436zbMath1179.91240OpenAlexW3124584871MaRDI QIDQ3652695

Kwangmoon Kim, Jaehyuk Choi, Minsuk Kwak

Publication date: 16 December 2009

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860802583436

zbMATH Keywords

rational approximationarithmetic Brownian motionclosed form approximationbasis point volatilitynormal implied volatility

Mathematics Subject Classification ID

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

Related Items (2)

FAST SWAPTION PRICING IN GAUSSIAN TERM STRUCTURE MODELS ⋮ A PDE method for estimation of implied volatility

Cites Work

• The Pricing of Options and Corporate Liabilities
• Approximate inversion of the Black-Scholes formula using rational functions
• Pricing and Hedging Spread Options
• Unnamed Item

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