TIGHTER BOUNDS FOR IMPLIED VOLATILITY

DOI10.1142/S0219024917500352zbMath1396.91729MaRDI QIDQ5357514

Radoš Radoičić, Jim Gatheral, Ivan Matic, Dan Stefanica

Publication date: 8 September 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

implied volatilitybisection methodPólya approximation

Mathematics Subject Classification ID

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

Related Items (4)

AN EXPLICIT IMPLIED VOLATILITY FORMULA ⋮ On the approximation of the Black and Scholes call function ⋮ A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL ⋮ A PDE method for estimation of implied volatility

Cites Work

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• The Pricing of Options and Corporate Liabilities
• A sharp Pólya-based approximation to the normal cumulative distribution function
• A new formula for computing implied volatility
• Uniform Bounds for Black--Scholes Implied Volatility
• Option Data and Modeling BSM Implied Volatility
• AN EXPLICIT IMPLIED VOLATILITY FORMULA
• Can there be an explicit formula for implied volatility?

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