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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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  • Corrado, Charles J. & Miller, Thomas Jr., 1996. "A note on a simple, accurate formula to compute implied standard deviations," Journal of Banking & Finance, Elsevier, vol. 20(3), pages 595-603, April.
  • Handle: RePEc:eee:jbfina:v:20:y:1996:i:3:p:595-603
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    References listed on IDEAS

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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 301-320, June.
    2. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
    3. 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 637-654, May-June.
    4. 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.
    5. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    6. 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 369-381, May.
    7. 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.
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    Citations

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    Cited by:

    1. 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.
    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. Jingwei Liu & Xing Chen, 2012. "Implied volatility formula of European Power Option Pricing," Papers 1203.0599, arXiv.org.
    4. repec:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500323 is not listed on IDEAS
    5. 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.
    6. 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).
    7. Michael R. Tehranchi, 2015. "Uniform bounds for Black--Scholes implied volatility," Papers 1512.06812, arXiv.org, revised Aug 2016.
    8. 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.
    9. 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.
    10. 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.
    11. repec:kap:revdev:v:20:y:2017:i:1:d:10.1007_s11147-016-9124-0 is not listed on IDEAS
    12. repec:wsi:ijtafx:v:20:y:2017:i:05:n:s0219024917500352 is not listed on IDEAS
    13. repec:wsi:ijtafx:v:20:y:2017:i:07:n:s0219024917500480 is not listed on IDEAS
    14. Kathrin Glau & Paul Herold & Dilip B. Madan & Christian Potz, 2017. "The Chebyshev method for the implied volatility," Papers 1710.01797, arXiv.org.
    15. Dan Stefanica & Radoš Radoičić, 2016. "A sharp approximation for ATM-forward option prices and implied volatilites," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-24, March.
    16. Li, Minqiang, 2008. "Approximate inversion of the Black-Scholes formula using rational functions," European Journal of Operational Research, Elsevier, vol. 185(2), pages 743-759, March.
    17. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

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