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An Improved Estimator For Black-Scholes-Merton Implied Volatility

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Author Info
Hallerbach, W.G.P.M. (Erasmus Research Institute of Management (ERIM), RSM Erasmus University)

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Abstract

We derive an estimator for Black-Scholes-Merton implied volatility that, when compared to the familiar Corrado & Miller [JBaF, 1996] estimator, has substantially higher approximation accuracy and extends over a wider region of moneyness.

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File URL: http://hdl.handle.net/1765/1472
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Publisher Info
Paper provided by Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. in its series Research Paper with number ERS-2004-054-F&A Revision_Date: 2009-07-29.

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Date of creation: 11 Aug 2004
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Handle: RePEc:dgr:eureri:30001604

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Web page: http://www.erim.eur.nl/

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Related research
Keywords: implied volatility; options; approximation methods;

Statistics
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