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A note on a simple, accurate formula to compute implied standard deviations

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Author Info
Corrado, Charles J.
Miller, Thomas Jr.

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Abstract

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Publisher Info
Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 20 (1996)
Issue (Month): 3 (April)
Pages: 595-603
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Handle: RePEc:eee:jbfina:v:20:y:1996:i:3:p:595-603

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  1. Kazuhiko NISHINA & Tatsuro Nabil MAGHREBI & Moo-Sung KIM, 2006. "Stock Market Volatility And The Forecasting Accuracy Of Implied Volatility Indices," Discussion Papers in Economics and Business 06-09, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP). [Downloadable!]
  2. Li, Minqiang, 2008. "An Adaptive Succesive Over-relaxation Method for Computing the Black-Scholes Implied Volatility," MPRA Paper 6867, University Library of Munich, Germany. [Downloadable!]
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