A sharp approximation for ATM-forward option prices and implied volatilites
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DOI: 10.1142/S242478631650002X
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Cited by:
- Dan Stefanica & Radoš Radoičić, 2017. "An Explicit Implied Volatility Formula," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(07), pages 1-32, November.
- Ivan Matić & Radoš Radoičić & Dan Stefanica, 2017. "Pólya-based approximation for the ATM-forward implied volatility," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-15, June.
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Keywords
Implied volatility; ATM-forward options; Black–Scholes formula; approximation error bounds;All these keywords.
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