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

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  • Corrado, Charles J.
  • Miller, Thomas Jr.

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Bibliographic 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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Web page: http://www.elsevier.com/locate/jbf

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References

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  1. Barone-Adesi, Giovanni & Whaley, Robert E, 1987. " Efficient Analytic Approximation of American Option Values," Journal of Finance, American Finance Association, vol. 42(2), pages 301-20, June.
  2. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
  3. Latane, Henry A & Rendleman, Richard J, Jr, 1976. "Standard Deviations of Stock Price Ratios Implied in Option Prices," Journal of Finance, American Finance Association, vol. 31(2), pages 369-81, May.
  4. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
  5. Barone-Adesi, Giovanni & Whaley, Robert E., 1986. "The valuation of American call options and the expected ex-dividend stock price decline," Journal of Financial Economics, Elsevier, vol. 17(1), pages 91-111, September.
  6. Day, Theodore E. & Lewis, Craig M., 1988. "The behavior of the volatility implicit in the prices of stock index options," Journal of Financial Economics, Elsevier, vol. 22(1), pages 103-122, October.
  7. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
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Cited by:
  1. Michael Roper & Marek Rutkowski, 2009. "On The Relationship Between The Call Price Surface And The Implied Volatility Surface Close To Expiry," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(04), pages 427-441.
  2. Sukhomlin, Nikolay & Santana Jiménez, Lisette Josefina, 2010. "Problema de calibración de mercado y estructura implícita del modelo de bonos de Black-Cox = Market Calibration Problem and the Implied Structure of the Black-Cox Bond Model," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 10(1), pages 73-98, December.
  3. Minqiang Li & Kyuseok Lee, 2011. "An adaptive successive over-relaxation method for computing the Black-Scholes implied volatility," Quantitative Finance, Taylor & Francis Journals, vol. 11(8), pages 1245-1269.
  4. 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).
  5. Chargoy-Corona, Jesús & Ibarra-Valdez, Carlos, 2006. "A note on Black–Scholes implied volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(2), pages 681-688.
  6. Matthias Fengler, 2010. "Option data and modeling BSM implied volatility," University of St. Gallen Department of Economics working paper series 2010 2010-32, Department of Economics, University of St. Gallen.
  7. Martijn Pistorius & Johannes Stolte, 2012. "Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations," Papers 1203.6899, arXiv.org.
  8. Jingwei Liu & Xing Chen, 2012. "Implied volatility formula of European Power Option Pricing," Papers 1203.0599, arXiv.org.
  9. Butler, J. S. & Schachter, Barry, 1996. "The statistical properties of parameters inferred from the black-scholes formula," International Review of Financial Analysis, Elsevier, vol. 5(3), pages 223-235.

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