Implied Variance Estimates for Black–Scholes and CEV OPM: Review and Comparison

DOI10.1142/9789811202391_0106zbMath1454.91297OpenAlexW3080466252MaRDI QIDQ5139546

John C. Lee, Yibing Chen, Cheng-Few Lee

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0106

zbMATH Keywords

Black-Scholes modelCEV modelapproximation approachimplied varianceMatlab approach

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• Excel
• Unnamed Item

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