An adaptive successive over-relaxation method for computing the Black–Scholes implied volatility

DOI10.1080/14697680902849361zbMath1266.91118OpenAlexW2128170545MaRDI QIDQ5300448

Kyuseok Lee, Minqiang Li

Publication date: 27 June 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902849361

zbMATH Keywords

rational approximationimplied volatilityBlack-Scholes formulasuccessive over-relaxation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30)

Related Items (5)

A bias in the volatility smile ⋮ AN EXPLICIT IMPLIED VOLATILITY FORMULA ⋮ Analytical approximations for the critical stock prices of American options: a performance comparison ⋮ Model-free stochastic collocation for an arbitrage-free implied volatility. I. ⋮ A PDE method for estimation of implied volatility

Cites Work

• The Pricing of Options and Corporate Liabilities
• The compound option approach to American options on jump-diffusions
• Approximate inversion of the Black-Scholes formula using rational functions
• HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
• A Simplex Method for Function Minimization

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